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Scenario aggregation method for portfolio expectile optimization

Jakobsons, Edgars - In: Statistics & Risk Modeling 33 (2016) 1-2, pp. 51-65

Abstract The statistical functional expectile has recently attracted the attention of researchers in the area of risk … optimization problem with an expectile objective. Portfolio optimization problems corresponding to other risk measures are often … formulations for the portfolio expectile optimization problem, which can be considered as counterparts to the LP formulations for …

Persistent link: https://www.econbiz.de/10014621253

Interpretation of point forecasts with unknown directive

Schmidt, Patrick; Katzfuss, Matthias; Gneiting, Tilmann - In: Journal of Applied Econometrics 36 (2021) 6, pp. 728-743

Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we...

Persistent link: https://www.econbiz.de/10014485961

How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Härdle, Wolfgang Karl; Ling, Chengxiu - 2018

and the expectile-quantile transformation level in an epsiloncontamination neighbourhood. The findings give the different …

Persistent link: https://www.econbiz.de/10012433159

Principal component analysis in an asymmetric norm

Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang - 2014

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal processing, mechanical engineering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...

Persistent link: https://www.econbiz.de/10010224945

Principal component analysis in an asymmetric norm

Tran, Ngoc Mai; Burdejová, Petra; Osipenko, Maria; … - 2016

variations rather than variation around the mean. In this paper, we develop Principal Expectile Analysis (PEC), which generalizes … uctuations in the expectile level of the data by a low dimensional subspace. We provide algorithms based on iterative least …

Persistent link: https://www.econbiz.de/10011550313

A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29

Persistent link: https://www.econbiz.de/10010474410

ExpectHill estimation, extreme risk and heavy tails

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10012618802

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions

Yen, Yu-min; Yen, Tso-Jung - In: International journal of forecasting 37 (2021) 2, pp. 733-758

Persistent link: https://www.econbiz.de/10012792867

Expectile CAPM

Hu, Wei; Zheng, Zhenlong - In: Economic modelling 88 (2020), pp. 386-397

Persistent link: https://www.econbiz.de/10012417246