Multivariate extensions of expectiles risk measures
Methodology
2016-09-27 v1
Abstract
This 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.
Cite
@article{arxiv.1609.07637,
title = {Multivariate extensions of expectiles risk measures},
author = {Véronique Maume-Deschamps and Didier Rullière and Khalil Saïd},
journal= {arXiv preprint arXiv:1609.07637},
year = {2016}
}
Comments
23 pages