Bidual representation of expectiles

Simple item page
dc.contributor.authorBalbás De La Corte, Alejandro
dc.contributor.authorBalbás, Beatriz
dc.contributor.authorBalbás Aparicio, Raquel
dc.contributor.authorCharron, Jean-Philippe
dc.date.accessioned2024-05-07T10:06:17Z
dc.date.available2024-05-07T10:06:17Z
dc.date.issued2023-12-15
dc.description.abstractDownside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk optimization, capital requirements, portfolio selection, pricing and hedging issues, risk transference, risk sharing, etc. In contrast, expectile risk measures are not as widely used, even though they are both coherent and elicitable. This paper addresses the bidual representation of expectiles in order to prove further important properties of these risk measures. Indeed, the bidual representation of expectiles enables us to estimate and optimize them by linear programming methods, deal with optimization problems involving expectile-linked constraints, relate expectiles with VaR and CVaR by means of both equalities and inequalities, give VaR and CVaR hyperbolic upper bounds beyond the level of confidence, and analyze whether co-monotonic additivity holds for expectiles. Illustrative applications are presented.
dc.description.departmentDepto. de Economía Financiera y Actuarial y Estadística
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.statuspub
dc.identifier.citationBalbás, Alejandro, Beatriz Balbás, Raquel Balbás, and Jean-Philippe Charron. 2023. Bidual Representation of Expectiles. Risks 11: 220. https://doi.org/10.3390/ risks11120220
dc.identifier.doi10.3390/risks11120220
dc.identifier.officialurlhttps://doi.org/10.3390/ risks11120220
dc.identifier.urihttps://hdl.handle.net/20.500.14352/103784
dc.issue.number12
dc.journal.titleRisks
dc.language.isoeng
dc.publisherMDPI
dc.relation.projectIDProject PID2021- 125133NB-I00
dc.relation.projectIDProject 2009/00445/003
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internationalen
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject.cdu336.7
dc.subject.keywordVaR and CVaR
dc.subject.keywordExpectile
dc.subject.keywordDual and bidual representations
dc.subject.keywordRisk optimization; risk bounds and equalities
dc.subject.keywordRisk bounds and equalities
dc.subject.ucmEconomía
dc.subject.ucmEconomía financiera
dc.subject.unesco5308 Economía General
dc.titleBidual representation of expectiles
dc.typejournal article
dc.volume.number11
dspace.entity.typePublication
relation.isAuthorOfPublicationc1999ca1-5b7d-4314-af45-1542598854c5
relation.isAuthorOfPublication5f4fa038-ff5c-48af-9ee5-0a7a47767e27
relation.isAuthorOfPublication.latestForDiscoveryc1999ca1-5b7d-4314-af45-1542598854c5
Download
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
risks-11-00220.pdf
Size:
557.14 KB
Format:
Adobe Portable Document Format
downoload Download
Collections
Artículos