Multivariate extensions of expectiles risk measures
  This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures. 
V\'eronique Maume-Deschamps and Didier Rulli\`ere and Khalil Sa\"id
stat.ME