Quantile-based optimal portfolio selection

Abstract In this paper the concept of quantile-based optimal portfolio selection is introduced and a specific connected to it, conditional value-of-return (CVoR) portfolio, proposed. The CVoR defined as mean excess return or value-at-risk (CVaR) distribution. consists solely risk measures. Financial institutions that work in context Basel 4 use CVaR measure. regulatory framework sufficient necessary conditions for optimality are provided under general distributional assumption. Moreover, it shown mean-variance efficient when returns assumed follow an elliptically contoured Under assumption closed-form expression weights characteristics obtained. Finally, methods illustrated empirical study based on monthly data stocks included S&P index. It new strategy outperforms several alternatives terms final investor wealth.