Performance measurement with expectiles

DOI10.1007/S10203-022-00369-8zbMATH Open1492.91436OpenAlexW4280572404MaRDI QIDQ2145704FDOQ2145704

Damiano Rossello

Publication date: 17 June 2022

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

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

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zbMATH Keywords

elicitabilityconditional performance measureacceptability indicesexpectile-based coherent risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• Higher order elicitability and Osband's principle
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Making and Evaluating Point Forecasts
• Asymmetric Least Squares Estimation and Testing
• Generalized quantiles as risk measures
• Statistical Methods for Financial Engineering
• Statistical Inference for Expectile‐based Risk Measures
• Tail expectile process and risk assessment
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Estimation of Tail Risk Based on Extreme Expectiles
• Conditional and dynamic convex risk measures
• Risk measures with the CxLS property
• RISK MEASURES ON ORLICZ HEARTS
• On elicitable risk measures
• Mathematical Risk Analysis
• Optimization of Convex Risk Functions
• Expectile asymptotics
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• Coherent risk measures and good-deal bounds
• The best gain-loss ratio is a poor performance measure
• Conditional expectiles, time consistency and mixture convexity properties
• Expectiles, omega ratios and stochastic ordering
• On a robust risk measurement approach for capital determination errors minimization
• ExpectHill estimation, extreme risk and heavy tails

Cited In (2)

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

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