Forecasting Value at Risk and Expected Shortfall based on serial pair-copula constructions. - Marcelo Brutti Righi; Paulo Sergio Ceretta (Expert Syst. Appl., 2015)

A fuzzy hybrid integrated framework for portfolio optimization in private banking. - Luciano Ferreira; Denis Borenstein; Marcelo Brutti Righi; Adiel Teixeira de Almeida Filho (Expert Syst. Appl., 2018)

A composition between risk and deviation measures. - Marcelo Brutti Righi (Ann. Oper. Res., 2019)

Star-Shaped deviations. - Marcelo Brutti Righi; Marlon Ruoso Moresco (Oper. Res. Lett., 2022)

A comparison of risk measures for portfolio optimization with cardinality constraints. - Henrique Pinto Ramos; Marcelo Brutti Righi; Pablo Cristini Guedes; Fernanda Maria Müller (Expert Syst. Appl., 2023)

Inf-convolution and optimal risk sharing with countable sets of risk measures. - Marcelo Brutti Righi; Marlon Ruoso Moresco (Ann. Oper. Res., 2024)