Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …