Optimal portfolio selection using quantile and composite quantile regression models

DOI10.1080/03610918.2022.2094961MaRDI QIDQ6972546zbMATH OpenFDO

Authors A. Aghamohammadi, Hassan Dadashi, Mahmood Tavoosi

Publication date 12 June 2025

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2022.2094961

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Composite quantile regression and the oracle model selection theory
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• Robust Statistics
• Sparse and stable Markowitz portfolios
• The distribution of the sample minimum-variance frontier
• The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators. With comments by Ronald A. Thisted and M. R. Osborne and a rejoinder by the authors
• Variable selection in quantile regression

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