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Quantile-based optimal portfolio selection

机译：基于Smastile的最优投资组合选择

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In this paper the concept of quantile-based optimal portfolio selection is introduced and a specific portfolio connected to it, the conditional value-of-return (CVoR) portfolio, is proposed. The CVoR is defined as the mean excess return or the conditional value-at-risk (CVaR) of the return distribution. The portfolio selection consists solely of quantile-based risk and return measures. Financial institutions that work in the context of Basel 4 use CVaR as a risk measure. In this regulatory framework sufficient and necessary conditions for optimality of the CVoR portfolio are provided under a general distributional assumption. Moreover, it is shown that the CVoR portfolio is mean-variance efficient when the returns are assumed to follow an elliptically contoured distribution. Under this assumption the closed-form expression for the weights and characteristics of the CVoR portfolio are obtained. Finally, the introduced methods are illustrated in an empirical study based on monthly data of returns on stocks included in the S&P index. It is shown that the new portfolio selection strategy outperforms several alternatives in terms of the final investor wealth.
机译：在本文中，提出了介绍了基于Spientile的最佳产品组合选择的概念，并提出了一种连接到它的特定产品组合，返回条件的返回值（CVOR）产品组合。 CVOR定义为返回分布的平均过剩返回或条件值 - 风险（CVAR）。投资组合选择仅包括基于水平的风险和退货措施。在巴塞尔4的背景下工作的金融机构使用CVAR作为风险措施。在该监管框架中，在一般分布假设下提供了CVOR组合的最优性的必要条件。此外，示出了当假设返回以遵循椭圆形的分布时，CVOR组合是平均值有效的。在这种假设下，获得了CVOR组合的重量和特征的闭合形式表达。最后，介绍的方法是在基于标准普尔索引中包含的股票的月度返回的月度数据的经验研究中进行了说明。结果表明，新的投资组合选择策略在最终投资者财富方面优于几种替代品。

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