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, Damiano
Secondo
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.
2025
Distorted expectation
Distortion risk measure
Expectiles
Generalized quantiles
Rank-dependent expected utility theory
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/680069
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