Statistics and Data Science Seminar
Lingjie Ma
UIC, Department of Finance
Quantile Portfolio Optimization
Abstract: 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.
Wednesday March 11, 2026 at 4:15 PM in 636 SEO