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arXiv · 2208.14809

A risk measurement approach from risk-averse stochastic optimization of score functions

Marcelo Brutti Righi·Fernanda Maria Müller·Marlon Ruoso Moresco
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Abstract

We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a deviation measure. We provide a connection between linear regression models and our framework. Based on this conception, we consider conditional risk and provide a connection between the minimum deviation portfolio and linear regression. Moreover, we also link the optimal replication hedging to our framework.

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Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco. 2022-08-31. A risk measurement approach from risk-averse stochastic optimization of score functions. https://arxiv.org/abs/2208.14809

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