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A Remark on the Structure of Expectiles

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  • Freddy Delbaen

Abstract

Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile.

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  • Freddy Delbaen, 2013. "A Remark on the Structure of Expectiles," Papers 1307.5881, arXiv.org.
  • Handle: RePEc:arx:papers:1307.5881
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    File URL: http://arxiv.org/pdf/1307.5881
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    Cited by:

    1. repec:bla:scjsta:v:44:y:2017:i:2:p:425-454 is not listed on IDEAS
    2. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, Open Access Journal, vol. 2(1), pages 1-24, February.
    3. Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel, 2014. "Risk measures with the CxLS property," Papers 1411.0426, arXiv.org.
    4. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-25, December.

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