The Conditional Quantile as a Minimizer
2014 (English)Report (Other academic)
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.
, Working Paper Series, Department of Real Estate and Construction Management & Centre for Banking and Finance (cefin), 14/8
Conditional quantiles, minimization problems.
IdentifiersURN: urn:nbn:se:kth:diva-154593OAI: oai:DiVA.org:kth-154593DiVA: diva2:758039
QC 201411122014-10-242014-10-242014-11-12Bibliographically approved