Corpus ID: 220347448

Minkowski gauges and deviation measures

@article{Moresco2020MinkowskiGA,
  title={Minkowski gauges and deviation measures},
  author={M. Moresco and M. Righi and Eduardo Horta},
  journal={arXiv: Risk Management},
  year={2020}
}

• M. Moresco, M. Righi, Eduardo Horta
• Published 2020
• Economics, Mathematics
• arXiv: Risk Management

We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that given a suitable acceptance set, any positive homogeneous deviation measure can be accommodated in our framework. In doing so, we provide a new interpretation for such measures, namely, that they quantify how much one must shrink a position for it to become acceptable. In particular, the Minkowski gauge of a set which is convex, stable under scalar addition, and radially… Expand

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