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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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Multivariate geometric expectiles
Herrmann, Klaus J.; Hofert, Marius; Mailhot, Mélina - In: Scandinavian actuarial journal (2018) 7, pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
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Dependence uncertainty bounds for the expectile of a portfolio
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 …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011402861
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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A theory for measures of tail risk
Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
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Coherence and elicitability
Ziegel, Johanna F. - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 901-918
Persistent link: https://www.econbiz.de/10011583809
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Unbiased estimation of risk
Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
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Performance measurement with expectiles
Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 343-374
Persistent link: https://www.econbiz.de/10013380572