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A Remark on the Structure of Expectiles


  • Freddy Delbaen


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,
  • Handle: RePEc:arx:papers:1307.5881

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    References listed on IDEAS

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    7. Gaudet, Gerard & Salant, Stephen W, 1991. "Increasing the Profits of a Subset of Firms in Oligopoly Models with Strategic Substitutes," American Economic Review, American Economic Association, vol. 81(3), pages 658-665, June.
    8. Acemoglu, Daron & Jensen, Martin Kaae, 2013. "Aggregate comparative statics," Games and Economic Behavior, Elsevier, vol. 81(C), pages 27-49.
    9. Brander, James A. & Spencer, Barbara J., 1985. "Export subsidies and international market share rivalry," Journal of International Economics, Elsevier, vol. 18(1-2), pages 83-100, February.
    10. Jonathan Eaton & Gene M. Grossman, 1986. "Optimal Trade and Industrial Policy Under Oligopoly," The Quarterly Journal of Economics, Oxford University Press, vol. 101(2), pages 383-406.
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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,
    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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