Multivariate extensions of expectiles risk measures
arXiv:1609.07637 · doi:10.1515/demo-2017-0002
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.
23 pages