Optimal portfolio selection using quantile and composite quantile regression models-Reference-Cited by-同舟云学术

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Optimal portfolio selection using quantile and composite quantile regression models

Published:2022-07-06 Issue: Volume: Page:1-11
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Aghamohammadi A.¹,Dadashi H.²,Sojoudi Mahdi³,Sojoudi Meysam⁴,Tavoosi M.²

Affiliation:

1. Department of Statistics, University of Zanjan, Zanjan, Iran

2. Department of Mathematics, Institute for Advanced Studies in Basic Sciences (IASBS), Zanjan, Iran

3. Department of Accounting, Law and Finance, Grenoble Ecole de Management, Grenoble, France

4. ICMA Centre, Henley Business School, University of Reading, UK

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2022.2094961

Reference32 articles.

1. Barnes, M, and W. A. Hughes. 2002. Quantile regression analysis of the cross section of stock market returns, Working Papers from Federal Reserve Bank of Boston, Available at SSRN: http://ssrn.com/abstract=458522.

2. Portfolio style: Return-based attribution using quantile regression

3. Pessimistic Portfolio Allocation and Choquet Expected Utility

4. Bonaccolto, G. M. Caporin, and S. Paterlini. 2015. Asset allocation strategies based on penalized quantile regression. Working Paper, available at https://arxiv.org/pdf/1507.00250.

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