A Remark on the Structure of Expectiles
Probability
2013-07-24 v1 Risk Management
Abstract
Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile.
Cite
@article{arxiv.1307.5881,
title = {A Remark on the Structure of Expectiles},
author = {Freddy Delbaen},
journal= {arXiv preprint arXiv:1307.5881},
year = {2013}
}
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9 pages