Asset allocation strategies based on penalized quantile regression
نویسندگان
چکیده
منابع مشابه
Asset allocation strategies based on penalized quantile regression
It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional distribution of the dependent variable, it is possible to optimize different risk and performance indicators. In particular, we introduce a risk-adjusted profitability...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2017
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-017-0288-3