Multivariate extensions of expectiles risk measures
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|