Performance measurement with expectiles

DOI10.1007/s10203-022-00369-8zbMath1492.91436OpenAlexW4280572404MaRDI QIDQ2145704

Damiano Rossello

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-022-00369-8

zbMATH Keywords

elicitabilityconditional performance measureacceptability indicesexpectile-based coherent risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Statistical Inference for Expectile‐based Risk Measures
• Coherent risk measures and good-deal bounds

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