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Multivariate extensions of expectiles risk measures

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Maume-Deschamps V., Rullière D., Said K.

Dependence Modeling

2017

tom 5

nr 1

20-44

This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

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1 Dependence Modeling

1 Maume-Deschamps V.

1 Rullière D.

1 Said K.

1 2017

Wyniki wyszukiwania

Multivariate extensions of expectiles risk measures