For a linear combination ∑ uj Xj of random variables, we are interested in the partial derivatives of its α-quantile Qα(u) regarded as a function of the weight vector u = (uj). It turns out that under suitable conditions on the joint distribution of (Xj) the derivatives exist and coincide with the conditional expectations of the Xi given that ∑ uj Xj takes the value Qα(u). Moreover, using this ...
