Computing expectiles via fixed point iterations

Thi Khanh Linh Ha, Andreas Heinrich Hamel, Daniel Kostner

公開日: 2025/8/30

Abstract

Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point characterizations for expectiles, both of which can be utilized for computing them. Although especially the so-called two-sided version is already implemented and widely used, a general convergence proof appears to be new.

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