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Multivariate extensions of expectiles risk measures

2017; De Gruyter Open; Volume: 5; Issue: 1 Linguagem: Inglês

10.1515/demo-2017-0002

2300-2298

Véronique Maume‐Deschamps, Didier Rullière, Khalil Said,

Fuzzy Systems and Optimization

Abstract This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.