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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| Published in: | Кібернетика та комп’ютерні технології |
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| Date: | 2020 |
| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2020
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| Subjects: | |
| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/173151 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | A new family of expectiles and its properties / V.M. Kuzmenko // Кібернетика та комп’ютерні технології: Зб. наук. пр. — 2020. — № 3. — С. 43-58. — Бібліогр.: 25 назв. — англ. |