Dependence Uncertainty Bounds for the Expectile of a Portfolio
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
- Maume-Deschamps Véronique & Said Khalil & Rullière Didier, 2017.
"Multivariate extensions of expectiles risk measures,"
De Gruyter Open, vol. 5(1), pages 20-44, January.
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Post-Print hal-01367277, HAL.
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate extensions of expectiles risk measures," Post-Print hal-01478930, HAL.
More about this item
Keywordsexpectiles; convex order; elicitability; coherence; dependence;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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