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Given a concave distortion function, we provide a dual representation of the expectiles based on rank-dependent expected utility theory. With possible application to portfolio management in mind, we also derive an LP formulation of the related optimization problem. • We propose a dual representation of the expectiles based on RDEU. • We propose an LP formulation of the corresponding dual representation. • We show that distorted expectiles are different from the usual expectiles.
Arcidiacono et al. (Tue,) studied this question.
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