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arXiv · 1307.5881

A Remark on the Structure of Expectiles

Freddy Delbaen
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Abstract

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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Freddy Delbaen. 2013-07-22. A Remark on the Structure of Expectiles. https://arxiv.org/abs/1307.5881

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