Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 11 (2023) 12, pp. 1-21
contrast, expectile risk measures are not as widely used, even though they are both coherent and elicitable. This paper … optimization problems involving expectile-linked constraints, relate expectiles with VaR and CVaR by means of both equalities and …