Given a concave distortion function, we provide a dual representation of the expectiles based on rank-dependent expected utility theory. With possible application to portfolio management in mind, we also derive an LP formulation of the related optimization problem.
Distorted expectiles risk measure and LP formulation
Arcidiacono, Sally Giuseppe
Primo
;Rossello, DamianoSecondo
2025-01-01
Abstract
Given a concave distortion function, we provide a dual representation of the expectiles based on rank-dependent expected utility theory. With possible application to portfolio management in mind, we also derive an LP formulation of the related optimization problem.File in questo prodotto:
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Distorted Expectiles Risk Measure and LP Formulation-published.pdf
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