A New Family of Expectiles and its Properties
Introduction. This paper considers a risk measure called expectile. Expectile is a characteristic of a random variable calculated using the asymmetric least square method. The level of asymmetry is defined by a parameter in the interval (0, 1). Expectile is used in financial applications, portfolio...
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| Format: | Article |
| Language: | English |
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V.M. Glushkov Institute of Cybernetics
2020-10-01
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| Series: | Кібернетика та комп'ютерні технології |
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| Online Access: | http://cctech.org.ua/13-vertikalnoe-menyu-en/164-abstract-20-3-5-arte |