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Multivariate extensions of expectiles risk measures

Multivariate extensions of expectiles risk measures AbstractThis paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Multivariate extensions of expectiles risk measures

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Publisher
de Gruyter
Copyright
© 2017
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2017-0002
Publisher site
See Article on Publisher Site

Abstract

AbstractThis paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Journal

Dependence Modelingde Gruyter

Published: Jan 26, 2017

References