Conditional Expectiles, Time Consistency and Mixture Convexity Properties

We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their main properties. For possible applications as dynamic risk measures, we discuss their time consistency properties

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Year of publication:	2018
Authors:	Bellini, Fabio
Other Persons:	Bignozzi, Valeria (contributor) ; Puccetti, Giovanni (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zeitkonsistenz \| Time consistency \| Geldpolitik \| Monetary policy

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Insurance: Mathematics and Economics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2018 erstellt
Other identifiers:	10.2139/ssrn.3009354 [DOI]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012933393