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Bassett, Gilbert W.
Koenker, Roger
Kordas, Gregory
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cemmap working paper, Centre for Microdata Methods and Practice CWP09/04
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.
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Working Paper

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