Article2015

On elicitable risk measures

193 citations0/0 files storedQuantitative Finance

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

Informally, a statistical functional T on a set of probability measures M on the real line is elicitable if it can be defined as the minimizer of a suitable expected scoring function. The simplest ...

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References

1999Coherent Measures of Risk 2002On the coherence of expected shortfall 2002Convex measures of risk and trading constraints 1971Elicitation of Personal Probabilities and Expectations 2011Making and Evaluating Point Forecasts 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2004Stochastic Finance 2002Putting order in risk measures

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