A Remark on the Structure of Expectiles
classification
🧮 math.PR
q-fin.RM
keywords
expectilesriskwillclasscoherentcommonotonicdefineddescribe
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Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile.
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