Lingjie Ma : Quantile Portfolio Optimization

Posted by Jie Yang , part of the Statistics and Data Science Seminar.

At

March 11, 2026, 4:15 p.m.

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636 SEO

Abstract

It is well known that asset returns usually do not follow a normal distribution, rather, they have long and fat tails. This paper focuses on the quantile portfolio methodology, which considers the whole distribution of asset returns and employs expected loss as a risk measurement. In particular, we explore statistical properties of tau risk and propose related theories of quantile portfolio optimization. We also introduce portfolio performance terms for the quantile portfolio framework.