Conditional expectiles, time consistency and mixture convexity properties
We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their mai...
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Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2018-09, Vol.82, p.117-123 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their main properties. For possible applications as dynamic risk measures, we discuss their time consistency properties. |
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ISSN: | 0167-6687 1873-5959 |
DOI: | 10.1016/j.insmatheco.2018.07.001 |