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.

Bellini, F., Bignozzi, V., & Puccetti, G. (2018). Conditional expectiles, time consistency and mixture convexity properties. INSURANCE MATHEMATICS & ECONOMICS, 82, 117-123 [10.1016/j.insmatheco.2018.07.001].

Conditional expectiles, time consistency and mixture convexity properties

Bellini, F;Bignozzi, V
;
2018

Abstract

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.
Articolo in rivista - Articolo scientifico
Scientifica
Conditional expectiles; Dynamic risk measures; Mixture concavity; Sequential consistency; Supermartingale property; Time consistency;
English
Bellini, F., Bignozzi, V., & Puccetti, G. (2018). Conditional expectiles, time consistency and mixture convexity properties. INSURANCE MATHEMATICS & ECONOMICS, 82, 117-123 [10.1016/j.insmatheco.2018.07.001].
Bellini, F; Bignozzi, V; Puccetti, G
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/204187
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