Conditional expectiles, time consistency and mixture convexity properties
Fabio Bellini,
Valeria Bignozzi and
Giovanni Puccetti
Insurance: Mathematics and Economics, 2018, vol. 82, issue C, 117-123
Abstract:
We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their main properties. For possible applications as dynamic risk measures, we discuss their time consistency properties.
Keywords: Conditional expectiles; Dynamic risk measures; Mixture concavity; Time consistency; Sequential consistency; Supermartingale property (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (11)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123
DOI: 10.1016/j.insmatheco.2018.07.001
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