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Type: Journal Articles Authors: Bassett, Gilbert and Roger Koenker
Published in: Journal of Financial Econometrics
Volume, issue, pages: Vol. 2, No. 4, pp. 477-492
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.
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