Conditional expectiles, time consistency and mixture convexity properties
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DOI: 10.1016/j.insmatheco.2018.07.001
Abstract: We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional… read more here.
Keywords: consistency mixture; time consistency; conditional expectiles; expectiles time ... See more keywords