A new portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law-invariant preference measures, including expected utility maximisation, mean-variance, goal reachi...

Quantile regression is a wide spread regression technique which allows to model the entire conditional distribution of the response variable. A natural extension to the case of censored observations was introduced by Portnoy (2003) using a reweighting scheme based on the Kaplan-Meier estimator. We apply the same ideas on the depth quantiles defined in Rousseeuw and Hubert (1999). This leads to ...

Quantiles are convenient measures of the entire range of values of simulation outputs. However, unlike the mean and standard deviation, the observations have to be stored since calculation of quantiles requires several passes through the data. Thus, quantile estimation(QE) requires a large amount of computer storage and computation time. Several approaches for estimating quantiles in RS(regener...