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On expectiles and almost stochastic dominance

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  • De Vecchi, Corrado
  • Scherer, Matthias

Abstract

We investigate the relationship between almost first order stochastic dominance (AFSD), the statistical functionals called expectiles, and the corresponding expectile-based monetary risk measure. From a methodological point of view, we show that expectiles provide a ready-to-be-used criterion for the comparison between a deterministic and a random payoff in the sense of AFSD. Furthermore, we obtain a consistency result for expectile-based monetary risk measures with respect to the AFSD ordering. Finally, we discuss applications to robustify some utility-based risk management procedures when there is uncertainty on the utility function to be considered. This includes preference robust portfolio optimization problems and worst-case shortfall risk measures.

Suggested Citation

  • De Vecchi, Corrado & Scherer, Matthias, 2026. "On expectiles and almost stochastic dominance," Insurance: Mathematics and Economics, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:insuma:v:126:y:2026:i:c:s016766872500126x
    DOI: 10.1016/j.insmatheco.2025.103179
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