Scandinavian Working Papers in Economics
Working Paper Series,
Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance
No 14/8: The Conditional Quantile as a Minimizer
Fredrik Armerin ()
Additional contact information
Fredrik Armerin: Centre for Banking and Finance, Postal: Centre for Banking and Finance, Royal Institute of Technology, Brinellvägen 1, 100 44 Stockholm, Sweden
Abstract: 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 -algebra is the solution to similar a minimization problem.
Keywords: Conditional quantiles; minimization problems.
JEL-codes: C60
7 pages, October 24, 2014
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