English

Conditional generalized quantiles based on expected utility model and equivalent characterization of properties

Mathematical Finance 2023-01-31 v1 Statistics Theory Statistics Theory

Abstract

As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles. We first show their well-definedness and they can be equivalently characterised by a conditional first order condition. We also discuss their main properties, and, especially, We give the characterization of coherency/convexity. For potential applications as a dynamic risk measure, we study their time consistency properties, and establish their equivalent characterizations among conditional generalized quantiles.

Keywords

Cite

@article{arxiv.2301.12420,
  title  = {Conditional generalized quantiles based on expected utility model and equivalent characterization of properties},
  author = {Qinyu Wu and Fan Yang and Ping Zhang},
  journal= {arXiv preprint arXiv:2301.12420},
  year   = {2023}
}
R2 v1 2026-06-28T08:25:18.296Z