A1590
Title: Quantile maximizer in action
Authors: Martin Hronec - UTIA AV CR vvi (Czech Republic) [presenting]
Abstract: The out-of-sample performance of portfolio selecting investors with $\tau$-quantile preferences is studied. Investor's risk aversion is captured by $\tau$, where more risk-averse investor maximize lower $\tau$-quantile. Using a number of empirical and simulated datasets, we document differences in optimal portfolios across different levels of risk aversion. We also compare optimal quantile portfolios with equal-weighting and global minimum variance portfolios, documenting heterogeneity in portfolio compositions as well as in the out-of-sample performance.
