Multivariate extensions of expectiles risk measures
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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.
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Cites work
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Cited in
(19)- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
- Multivariate geometric expectiles
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- scientific article; zbMATH DE number 7266413 (Why is no real title available?)
- Capital allocation with multivariate convex risk measures
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- Extremes for multivariate expectiles
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