A Remark on the Structure of Expectiles

Freddy Delbaen

Papers from arXiv.org

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.

Date: 2013-07
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Citations: View citations in EconPapers (16)

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