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- Publisher
- de Gruyter
- Copyright
- © 2017
- ISSN
- 2300-2298
- eISSN
- 2300-2298
- DOI
- 10.1515/demo-2017-0002
- Publisher site
- See Article on Publisher Site
Abstract
AbstractThis 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.
Journal
Dependence Modeling – de Gruyter
Published: Jan 26, 2017