Performance measurement with expectiles

DOI10.1007/S10203-022-00369-8MaRDI QIDQ2145704zbMATH OpenOpenAlexFDO

Authors Damiano Rossello

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10203-022-00369-8

zbMATH Keywords

elicitabilityconditional performance measureacceptability indicesexpectile-based coherent risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Asymmetric Least Squares Estimation and Testing
• Coherent measures of risk
• Coherent risk measures and good-deal bounds
• Conditional and dynamic convex risk measures
• Conditional expectiles, time consistency and mixture convexity properties
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Estimation of Tail Risk Based on Extreme Expectiles
• ExpectHill estimation, extreme risk and heavy tails
• Expectile asymptotics
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• On a robust risk measurement approach for capital determination errors minimization
• On elicitable risk measures
• Optimization of Convex Risk Functions
• RISK MEASURES ON ORLICZ HEARTS
• Risk measures with the CxLS property
• Statistical inference for expectile-based risk measures
• Statistical methods for financial engineering
• Tail expectile process and risk assessment
• The best gain-loss ratio is a poor performance measure
• The canonical model space for law-invariant convex risk measures is \(L^{1}\)

Cited in

(2)

• Measuring the inspectorate: point and interval estimates for performance indicators
• Computational Science - ICCS 2004

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