Distorted expectiles risk measure and LP formulation

Sally Giuseppe Arcidiacono and Damiano Rossello

Statistics & Probability Letters, 2025, vol. 226, issue C

Abstract: Given a concave distortion function, we provide a dual representation of the expectiles based on rank-dependent expected utility theory. With possible application to portfolio management in mind, we also derive an LP formulation of the related optimization problem.

Keywords: Distortion risk measure; Distorted expectation; Rank-dependent expected utility theory; Expectiles; Generalized quantiles (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110496

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