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The Conditional Quantile as a Minimizer
KTH, School of Architecture and the Built Environment (ABE), Centres, Centre for Banking and Finance, Cefin.ORCID iD: 0000-0003-4454-474X
2014 (English)Report (Other academic)
Abstract [en]

It is well known that a quantile is the solution to a minimization problem.We show that the conditional quantile with respect to a general -algebrais the solution to similar a minimization problem.

Place, publisher, year, edition, pages
KTH Royal Institute of Technology, 2014. , 7 p.
Series
Working Paper Series, Department of Real Estate and Construction Management & Centre for Banking and Finance (cefin), 14/8
Keyword [en]
Conditional quantiles, minimization problems.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-154593OAI: oai:DiVA.org:kth-154593DiVA: diva2:758039
Note

QC 20141112

Available from: 2014-10-24 Created: 2014-10-24 Last updated: 2014-11-12Bibliographically approved

Open Access in DiVA

fulltext(390 kB)142 downloads
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File name FULLTEXT01.pdfFile size 390 kBChecksum SHA-512
cdd876138da91ecc76624fc7c55dbd113ea2bed7396854d987dcff965f06b95f9531793d7ca816f925af8d995a417551189406724e48c9a420a2823b8cfe3363
Type fulltextMimetype application/pdf

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Armerin, Fredrik
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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