2023/03/06 by Rajmadan Lakshmanan, Lakshmanan, Rajmadan, Alois Pichler +1
Decision Sciences · #FOS: Mathematics #Optimization and Control (math.OC) #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2303.03522
openalex publication_date 2023/03/06 · openalex created_date 2023/03/10 · openalex updated_date 2026/07/28
This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this reason, they enjoy various unique stability properties, which can be exploited in risk averse management, in stochastic optimization and in optimal control. The paper provides tight relates of expectiles to other risk functionals and addresses their properties in regression. Further, we extend expectiles to a dynamic framework. As such, they allow incorporating a risk averse aspect in continuous-time dynamic optimization and a risk averse variant of the Hamilton-Jacobi-Bellman equations.