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}
}