Pessimistic Portfolio Allocation and Choquet Expected Utility

By G. Bassett, Roger W. Koenker, Gregory Kordas. 2004

153 citations recorded by the source corpus.

Subfields: Finance, General Decision Sciences, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0aea783bb85763c7b4a36eee172d275540796037

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Citations in the corpus

Scientific Ambiguity and Climate Policy (2013, methodology): “Dow and da Costa Werlang 1992; Bassett et al. 2004; Gollier 2009; Bossaerts et al. 2010). Hansen and Sargent (2007) have applied similar techniques, later axiomatized by Maccheroni et al.”
Estimation of tail risk based on extreme expectiles (2016, unknown): “When using the Hill estimator (6) of γ with k “ np1 ́τnq, sufficient regularity conditions for (7) to hold can be found in Theorems 2.”
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, background): “385 Shreve (1998), and Föllmer and Schied (2002) for systematic accounts on dynamic utility maximization, and Li and Ng (2000), Zhou and Li (2000), and Jin, Yan, and Zhou (2004) for recent studies on the mean–variance (including extensions to mean–risk) counterpart.”
Asymmetric power distribution: Theory and applications to risk measurement (2007, background): “Finally, the important work by Bassett et al. (2004) provided the link between the Choquet expected utility theory and the expected shortfall, thus grounding it within the decision-theoretic framework of models of choice under uncertainty. Unsurprisingly, the econometrics literature on this popular ”
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models (2008, background): “and other type risk models and their extensions; see Bassett, Koenker and Kordas (2004) .”
On the use of archetypes as benchmarks (2008, unknown): “[4] and Koenker [5, pp.”
Dynamic Quantile Models of Rational Behavior (2019, unknown): “2Quantile preferences can be associated with Choquet expected utility (see, e.g., Chambers (2007); Bassett, Koenker, and Kordas (2004)).”
Quantile Autoregression (2006, methodology): “ut = t(3), n = 100, Number of replication =1000”
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (2019, background): “Bassett, Koenker, and Kordas (2004) highlighted the simple relationship between this minimized objective function and the unconditional ES.”
Assessing value at risk with CARE, the Conditional Autoregressive Expectile models (2009, result): “Bassett et al. (2004) show that such asymmetric weighting scheme is in line with certain distorted probability assessment employed in Choquet expected theory and capable of describing pessimism.”
Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models (2009, background): “Closely related quantile-based concepts, such as expected shortfall, conditional VaR, and limited expected loss, also are intimately linked to quantile estimation (see, e.g., Artzner et al. 1999; Wang 2000; Wu and Xiao 2002; Bassett, Koenker, and Kordas 2004).”