Cover Image

A Remark on the Structure of Expectiles

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.
Year of publication:
2013-07
Authors: Delbaen, Freddy
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010681204
Similar items by person