Recently considerable attention has been given to downside risk control in the context of portfolio choice; see Sortino and Satchell (2005). We propose an integrated model for portfolio choice in which downside risk is considered explicitly at the stage of the scenario generation which describes...

In nonparametric multivariate regression analysis, one usually seeks methods to reduce the dimensionality of the regression function to bypass the difficulty caused by the curse of dimensionality. We study nonparametric estimation of multivariate conditional distribution and quantile regression...