# Multivariate extensions of expectiles risk measures

arXiv: https://arxiv.org/abs/1609.07637 · HTML: https://mlsanity.com/paper/1609.07637/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 24 Sep 2016.

## Built on by (most cited first, 1 of 1)

- [K-expectiles clustering](https://mlsanity.com/paper/2103.09329/) (2021)

## Abstract (arXiv)

This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.