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...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2018-09, Vol.82, p.117-123
Hauptverfasser: Bellini, Fabio, Bignozzi, Valeria, Puccetti, Giovanni
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
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.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2018.07.001