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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Maume-Deschamps, V., Rullière, D., & Said, K. (2017). Multivariate extensions of expectiles risk measures. Dependence Modeling, 5(1), 20–44. https://doi.org/10.1515/demo-2017-0002

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