Quantile-based portfolios: post-model-selection estimation with alternative specifications

DOI10.1007/s10287-021-00396-7OpenAlexW3156999455MaRDI QIDQ2051169

Giovanni Bonaccolto

Publication date: 24 November 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-021-00396-7

zbMATH Keywords

performance evaluationquantile regressionportfolio optimizationregularization techniques

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Uses Software

• QICD

Cites Work

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