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.
Authors
Working Paper details
- DOI
- 10.1920/wp.cem.2004.0904
- Publisher
- IFS
Suggested citation
G, Bassett and R, Koenker and G, Kordas. (2004). Pessimistic portfolio allocation and Choquet expected utility. London: IFS. Available at: https://ifs.org.uk/publications/pessimistic-portfolio-allocation-and-choquet-expected-utility (accessed: 1 July 2024).
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