The Conditional Quantile as a Minimizer

Fredrik Armerin ()
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Fredrik Armerin: Centre for Banking and Finance, Postal: Centre for Banking and Finance, Royal Institute of Technology, Brinellvägen 1, 100 44 Stockholm, Sweden

No 14/8, Working Paper Series from Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance

Abstract: It is well known that a quantile is the solution to a minimization problem. We show that the conditional quantile with respect to a general -algebra is the solution to similar a minimization problem.

Keywords: Conditional quantiles; minimization problems. (search for similar items in EconPapers)
JEL-codes: C60 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2014-10-24
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