Generalized quantiles as risk measures
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Publication:2015471
The authors investigate M-quantiles obtained by means of the minimization of an asymmetric convex loss function. The properties of these generalized quantiles as risk measures are discussed. Also, the connection with the zero utility premium principle and with shortfall risk measures introduced by \textit{H. Föllmer} and \textit{A. Schied} [Finance Stoch. 6, No. 4, 429--447 (2002; Zbl 1041.91039)] are pointed out. In particular, the authors show that the only M-quantiles that are coherent risk measures are the expectiles, introduced by \textit{W. K. Newey} and \textit{J. L. Powell} [Econometrica 55, 819--847 (1987; Zbl 0625.62047)] as the minimizers of an asymmetric quadratic loss function. A dual representation of the expectiles as well as their Kusuoka representations are presented. The relationship with CVaR as well as their asymptotic properties for \(\alpha\rightarrow 1\) are analyzed. It is shown that for very heavy tailed distributions expectiles are more conservative than the usual quantiles. Finally, robustness of the expectiles is shown in the sense of Lipschitzianity with respect to the Wasserstein metrics.
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