Metametris

"#expectile is a #risk measure that, similar to #var (quantile) and CVaR (superquantile), can be employed in #riskmanagement." LIRE

"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with...

"We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement...