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
Conditional expectiles; Dynamic risk measures; Mixture concavity; Sequential consistency; Supermartingale property; Time consistency;
English
2018
82
117
123
none
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].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/204187
Citazioni
  • Scopus 17
  • ???jsp.display-item.citation.isi??? 16
Social impact