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.
@article{bwmeta1.element.doi-10_1515_demo-2017-0002,
author = {V\'eronique Maume-Deschamps and Didier Rulli\`ere and Khalil Said},
title = {Multivariate extensions of expectiles risk measures},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {20-44},
zbl = {1358.91113},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0002}
}
Véronique Maume-Deschamps; Didier Rullière; Khalil Said. Multivariate extensions of expectiles risk measures. Dependence Modeling, Tome 5 (2017) pp. 20-44. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0002/