Navegação Economia por Autor "Righi, Marcelo Brutti"

Resultados 1-2 de 2

    • Arbitrage pricing through risk measures 

      Araújo Júnior, Luiz Carlos de (2023) [Dissertação]
      This work provides an extension of the conic finance framework, through a new spread function that allows each side of the trade to be calculated using a distinct distortion. In this way, we return to the original conic ...

    • Three studies on risk measures : a focus on the comonotonic additivity property 

      Santos, Samuel Solgon (2023) [Tese]
      The theory of risk measures has grown enormously in the last twenty years. In particular, risk measures satisfying the axiom of comonotonic additivity were extensively studied, arguably because of the affluence of results ...