On expectiles and almost stochastic dominance
研究了几乎一阶随机占优与期望分位数及其货币风险度量的关系，发现期望分位数可作为AFSD准则的比较工具，并讨论了在效用不确定时稳健化风险管理程序的应用。
We investigate the relationship between almost first order stochastic dominance (AFSD), the statistical functionals called expectiles, and the corresponding expectile-based monetary risk measure. From a methodological point of view, we show that expectiles provide a ready-to-be-used criterion for the comparison between a deterministic and a random payoff in the sense of AFSD. Furthermore, we obtain a consistency result for expectile-based monetary risk measures with respect to the AFSD ordering. Finally, we discuss applications to robustify some utility-based risk management procedures when there is uncertainty on the utility function to be considered. This includes preference robust portfolio optimization problems and worst-case shortfall risk measures.