The following pages link to On elicitable risk measures (Q4683090):
Displaying 50 items.
- Risk measures with the CxLS property (Q287670) (← links)
- On a capital allocation by minimization of some risk indicators (Q303736) (← links)
- Scenario aggregation method for portfolio expectile optimization (Q308418) (← links)
- Higher order elicitability and Osband's principle (Q309736) (← links)
- Multivariate extensions of expectiles risk measures (Q515556) (← links)
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall (Q784463) (← links)
- Expectiles, omega ratios and stochastic ordering (Q1617323) (← links)
- Large deviations for risk measures in finite mixture models (Q1641144) (← links)
- Robust and Pareto optimality of insurance contracts (Q1683105) (← links)
- Optimal strategies under omega ratio (Q1713773) (← links)
- Distributionally robust shortfall risk optimization model and its approximation (Q1739046) (← links)
- Computing near-optimal value-at-risk portfolios using integer programming techniques (Q1754091) (← links)
- Extremes for multivariate expectiles (Q1756031) (← links)
- Conditional expectiles, time consistency and mixture convexity properties (Q1799643) (← links)
- Elicitability and identifiability of set-valued measures of systemic risk (Q2022759) (← links)
- Semi-parametric estimation of multivariate extreme expectiles (Q2034472) (← links)
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals (Q2044330) (← links)
- Simulation methods for robust risk assessment and the distorted mix approach (Q2076947) (← links)
- Measurability of functionals and of ideal point forecasts (Q2084467) (← links)
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory (Q2109017) (← links)
- Performance measurement with expectiles (Q2145704) (← links)
- An energy-based measure for long-run horizon risk quantification (Q2158627) (← links)
- Dual representation of expectile-based expected shortfall and its properties (Q2241897) (← links)
- Is the inf-convolution of law-invariant preferences law-invariant? (Q2306099) (← links)
- Backtesting VaR and expectiles with realized scores (Q2324292) (← links)
- Why scoring functions cannot assess tail properties (Q2326990) (← links)
- On multivariate extensions of the conditional value-at-risk measure (Q2347091) (← links)
- Reducing model risk via positive and negative dependence assumptions (Q2347092) (← links)
- Elicitable distortion risk measures: a concise proof (Q2348333) (← links)
- Dynamic portfolio choice: a simulation-and-regression approach (Q2402578) (← links)
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data (Q2657187) (← links)
- Portfolio optimization under shortfall risk constraint (Q2817245) (← links)
- On the Measurement of Economic Tail Risk (Q3178757) (← links)
- How Superadditive Can a Risk Measure Be? (Q3195106) (← links)
- On the properties of the Lambda value at risk: robustness, elicitability and consistency (Q4555176) (← links)
- Implicit expectiles and measures of implied volatility (Q4619525) (← links)
- Multivariate Shortfall Risk Allocation and Systemic Risk (Q4635243) (← links)
- A Theory for Measures of Tail Risk (Q4958558) (← links)
- Quantile-Based Risk Sharing (Q4971388) (← links)
- Scenario analysis for derivative portfolios via dynamic factor models (Q4991043) (← links)
- Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models (Q4991070) (← links)
- Regulatory arbitrage of risk measures (Q5001133) (← links)
- Shortfall Risk Models When Information on Loss Function Is Incomplete (Q5060520) (← links)
- Short Communication: An Axiomatization of $\Lambda$-Quantiles (Q5071491) (← links)
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS (Q5358042) (← links)
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis (Q6049405) (← links)
- Bayes risk, elicitability, and the Expected Shortfall (Q6054377) (← links)
- Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures (Q6063319) (← links)
- Retire: robust expectile regression in high dimensions (Q6150528) (← links)
- Distributionally robust reinsurance with expectile (Q6163458) (← links)