Asset allocation strategies based on penalized quantile regression

DOI10.1007/s10287-017-0288-3zbMath1402.62247arXiv1507.00250OpenAlexW3121637696MaRDI QIDQ1789637

Massimiliano Caporin, Giovanni Bonaccolto, Sandra Paterlini

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.00250

zbMATH Keywords

quantile regressionasset allocation\(\ell_1\)-norm penalty

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (6)

Multi-period power utility optimization under stock return predictability ⋮ Penalized averaging of parametric and non-parametric quantile forecasts ⋮ Quantile-based optimal portfolio selection ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models ⋮ A cost-effective approach to portfolio construction with range-based risk measures

Uses Software

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