Extreme M-quantiles as risk measures: from L1 to Lp optimization
(2018)
Journal Article
Daouia, A., Girard, S., & Stupfler, G. (2019). Extreme M-quantiles as risk measures: from L1 to Lp optimization. Bernoulli, 25(1), 264-309
The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The alternative family of expectiles is based on squared rather than absolute error loss minimization. It has recently been receiving a... Read More about Extreme M-quantiles as risk measures: from L1 to Lp optimization.