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A new family of expectiles and its properties
This paper considers a risk measure called expectile. We propose a new expression defining expectile, using maximization of CVaR by changing confidence level. This expression is specified for continuous and finite discrete distribution. It is proved that the optimal value of the confidence level is...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2020
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| Series: | Кібернетика та комп’ютерні технології |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/173151 |
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