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Managing Portfolios Across the Return Distribution

Author

Listed:
  • Jozef Barunik
  • Lukas Janasek
  • Attila Sarkany

Abstract

We develop a dynamic portfolio-choice framework in which investors target the region of the payoff distribution that the portfolio is designed to improve. Out of sample, the estimated policies form an ordered frontier: the policy focused on the downside delivers the strongest left-tail protection and the highest Sharpe ratio, while the policy focused on the upper quantile earns the highest mean return. The gains over volatility-managed portfolios are concentrated in periods when downside-tail dispersion is high. Evidence from fund flows in income, growth and downside protection products supports the interpretation of the quantile index as a reduced-form mandate measure.

Suggested Citation

  • Jozef Barunik & Lukas Janasek & Attila Sarkany, 2025. "Managing Portfolios Across the Return Distribution," Papers 2510.19271, arXiv.org, revised Jun 2026.
    • Handle: RePEc:arx:papers:2510.19271
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    References listed on IDEAS

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