Critical Decisions for Asset Allocation via Penalized Quantile Regression

@article{Bonaccolto2019CriticalDF,
  title={Critical Decisions for Asset Allocation via Penalized Quantile Regression},
  author={Giovanni Bonaccolto},
  journal={Mutual Funds},
  year={2019}
}
  • G. Bonaccolto
  • Published 13 August 2019
  • Computer Science, Economics
  • Mutual Funds
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash penalization procedure to deal with overshrinking and concentration issues. Second, we investigate whether and to what extent the performance changes when moving from convex to nonconvex penalty functions. Third, we compare different methods to select the optimal… 

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