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Multivariate extensions of expectiles risk measures

Véronique Maume-DeschampsDidier RullièreKhalil Said — 2017

Dependence Modeling

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.

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