IDEAS home Printed from https://ideas.repec.org/r/ifs/cemmap/09-04.html
   My bibliography  Save this item

Pessimistic portfolio allocation and Choquet expected utility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
  2. Jozef Baruník & Matěj Nevrla, 2023. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1590-1646.
  3. Bassett, Gilbert Jr., 2005. "Proposing a dinner date: analysis by rank-dependent expected utility," Journal of Economic Behavior & Organization, Elsevier, vol. 58(3), pages 393-402, November.
  4. Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
  5. Cai, Zongwu & Xu, Xiaoping, 2009. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 371-383.
  6. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
  7. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  8. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023. "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, vol. 51(C).
  9. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
  10. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
  11. J. Christopher Westland, 2015. "Economics of eBay’s buyer protection plan," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-20, December.
  12. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  13. Sungchul Hong & Jong-June Jeon, 2023. "Uniform Pessimistic Risk and Optimal Portfolio," Papers 2303.07158, arXiv.org.
  14. Zhu, Huiming & Peng, Cheng & You, Wanhai, 2016. "Quantile behaviour of cointegration between silver and gold prices," Finance Research Letters, Elsevier, vol. 19(C), pages 119-125.
  15. R. Tyrrell Rockafellar & Stan Uryasev & Michael Zabarankin, 2008. "Risk Tuning with Generalized Linear Regression," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 712-729, August.
  16. Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Kim, Kwansoo & Chavas, Jean-Paul & Barham, Bradford L. & Foltz, Jeremy D., 2012. "Rice, Irrigation and Downside Risk: A Quantile Analysis of Risk Exposure and Mitigation on Korean Farms," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124814, Agricultural and Applied Economics Association.
  18. Marc Hallin & Davy Paindaveine & Miroslav Siman, 2008. "Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth," Working Papers ECARES 2008_042, ULB -- Universite Libre de Bruxelles.
  19. Hanqing Jin & Xun Yu Zhou, 2008. "Behavioral Portfolio Selection In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 385-426, July.
  20. Luciano de Castro & Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo, 2022. "Portfolio selection in quantile decision models," Annals of Finance, Springer, vol. 18(2), pages 133-181, June.
  21. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Other publications TiSEM 0cd9ce8d-542e-418e-be38-f, Tilburg University, School of Economics and Management.
  22. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Papers 1708.08622, arXiv.org.
  23. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  24. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.
  25. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
  26. Antony Millner & Simon Dietz & Geoffrey Heal, 2010. "Ambiguity and Climate Policy," NBER Working Papers 16050, National Bureau of Economic Research, Inc.
  27. Giovanni Bonaccolto, 2021. "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, vol. 18(3), pages 355-383, July.
  28. repec:wyi:journl:002094 is not listed on IDEAS
  29. Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
  30. Pauline Barrieu & Sinclair Desgagn�, 2009. "Economic policy when models disagree," GRI Working Papers 4, Grantham Research Institute on Climate Change and the Environment.
  31. Gerlach, Richard & Wang, Chao, 2020. "Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 489-506.
  32. Franco Peracchi & Andrei V. Tanase, 2008. "On estimating the conditional expected shortfall," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(5), pages 471-493, September.
  33. Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
  34. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Other publications TiSEM da47bd16-393d-4b80-96dc-1, Tilburg University, School of Economics and Management.
  35. Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
  36. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
  37. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
  38. Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
  39. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Discussion Paper 2005-100, Tilburg University, Center for Economic Research.
  40. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
  41. Pauline Barrieu & Bernard Sinclair-Desgagné, 2009. "Economic Policy when Models Disagree," CIRANO Working Papers 2009s-03, CIRANO.
  42. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
  43. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
  44. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
  45. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  46. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
  47. Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  48. Xu, Qifa & Zhou, Yingying & Jiang, Cuixia & Yu, Keming & Niu, Xufeng, 2016. "A large CVaR-based portfolio selection model with weight constraints," Economic Modelling, Elsevier, vol. 59(C), pages 436-447.
  49. Giovanni Bonaccolto, 2019. "Critical Decisions for Asset Allocation via Penalized Quantile Regression," Papers 1908.04697, arXiv.org.
  50. Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
  51. Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
  52. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
  53. Antony Millner & Simon Dietz & Geoffrey Heal, 2013. "Scientific Ambiguity and Climate Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 55(1), pages 21-46, May.
  54. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  55. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  56. Alexandre Street, 2010. "On the Conditional Value-at-Risk probability-dependent utility function," Theory and Decision, Springer, vol. 68(1), pages 49-68, February.
  57. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.