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Journal Articles Dependence Modeling Year : 2017

MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES

Abstract

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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Dates and versions

hal-01367277 , version 1 (15-09-2016)
hal-01367277 , version 2 (21-02-2017)

Identifiers

  • HAL Id : hal-01367277 , version 2

Cite

Véronique Maume-Deschamps, Didier Rullière, Khalil Said. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. Dependence Modeling, 2017. ⟨hal-01367277v2⟩
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