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arXiv · 2301.12420

Conditional generalized quantiles based on expected utility model and equivalent characterization of properties

Qinyu Wu·Fan Yang·Ping Zhang
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Abstract

As a counterpart to the (static) risk measures of generalized quantiles and motivated by Bellini et al. (2018), we propose a new kind of conditional risk measure called conditional generalized quantiles. We first show their well-definedness and they can be equivalently characterised by a conditional first order condition. We also discuss their main properties, and, especially, We give the characterization of coherency/convexity. For potential applications as a dynamic risk measure, we study their time consistency properties, and establish their equivalent characterizations among conditional generalized quantiles.

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Qinyu Wu, Fan Yang, Ping Zhang. 2023-01-29. Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. https://arxiv.org/abs/2301.12420

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