Pessimistic Portfolio Allocation and Choquet Expected Utility
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimization based on the Choquet approach may be formulated as a problem of linear quantile regression. Copyright 2004, Oxford University Press.
Year of publication: |
2004
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Authors: | Bassett, Gilbert W. |
Published in: |
Journal of Financial Econometrics. - Society for Financial Econometrics - SoFiE, ISSN 1479-8409. - Vol. 2.2004, 4, p. 477-492
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Publisher: |
Society for Financial Econometrics - SoFiE |
Saved in:
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