Tail Value-at-Risk-Based Expectiles for Extreme Risks and Their Application in Distributionally Robust Portfolio Selections

Chen, HY; Fan, K

Fan, K (通讯作者),East China Normal Univ, Sch Stat, Key Lab Adv Theory & Applicat Stat & Data Sci MOE, 3663 North Zhongshan Rd, Shanghai 200062, Peoples R China.

MATHEMATICS, 2023; 11 (1):

Abstract

Empirical evidence suggests that financial risk has a heavy-tailed profile. Motivated by recent advances in the generalized quantile risk measure, we ......

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