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.
Volume (Year): 2 (2004)
Issue (Month): 4 ()
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