MSCS Seminar Calendar
Friday January 16, 2026
Monday January 26, 2026
Monday February 16, 2026
Monday March 2, 2026
Wednesday March 11, 2026
Statistics and Data Science SeminarQuantile Portfolio Optimization
Lingjie Ma (UIC, Department of Finance)
4:15 PM in 636 SEO
It is well known that asset returns usually do not follow a normal distribution, rather, they have long and fat tails. This paper focuses on the quantile portfolio methodology, which considers the whole distribution of asset returns and employs expected loss as a risk measurement. In particular, we explore statistical properties of tau risk and propose related theories of quantile portfolio optimization. We also introduce portfolio performance terms for the quantile portfolio framework.
Monday March 16, 2026
Wednesday March 18, 2026
Monday March 30, 2026
