Title: Mean- VaR Portfolio Through Quantile Regression Approach
Abstract:The traditional mean- variance portfolio selection model need a rigorous normal distribution assumption. It is difficult to accurately describe and diversify the asymmetric and extreme tail risk of fi...The traditional mean- variance portfolio selection model need a rigorous normal distribution assumption. It is difficult to accurately describe and diversify the asymmetric and extreme tail risk of financial assets. So far,we consider the mean- VaR model and propose a new algorithm for its solution through quantile regression approach. For illustration,we use 60 stocks in Shanghai and Shenzhen 300 index. The performance of the mean- VaR model based on quantile regression is superior to the traditional mean- variance model.Read More
Publication Year: 2015
Publication Date: 2015-01-01
Language: en
Type: article
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