PORTFOLIO CHOICE VIA QUANTILES

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How researchers see this paper

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OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY (2015, unknown): “Following the idea of He and Zhou (2012), we can modify a pointwise optimizer.”
Optimal stopping under probability distortion. (2011, methodology): “The quantile formulation has recently been further developed in [12] into a general paradigm of solving nonexpected utility maximization models.”
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz (2015, background): “This has raised the relevance of non-Gaussian models, tail dependence, and quantile based risk measures in portfolio optimization [23, 11, 5, 2, 4, 9, 21, 6, 13, 26, 18].”