
Job market paper
Stock Return Quantiles and Conditional Asymmetry: An Approach to Portfolio Selection
Fully aware of the importance of effective risk management, we develop a dynamic quantile forecasting model aimed at improving the accuracy of conditional quantile predictions. We place an emphasis on the 1\%, 2.5\%, and 5\% conditional quantiles, since these measures are often cited to manage the downside risks of portfolios. We validate that the model has a strong performance in predicting this quantile when applied to various GARCH-type models. We use conditional asymmetry measures generated from the model conditional quantile predictions to design a portfolio allocation strategy for five market indices. We identify one such strategy that could improve upon the risk-return tradeoff of the default conditional value-at-risk optimal portfolio and the equal-weight portfolio.
Fields
18, 20, 0, 0Other papers
Has the Downside Risk in the Chinese Stock Market Fundamentally Changed?
Contact information
- hanweil@live.unc.edu
- 919-259-2999
- Website
- CV
- Gardner Hall CB 3305
- University of North Carolina
- Chapel Hill, NC 27599-3305
Letter writers
- Eric Ghysels
- Chuanshu Ji
- Ju Hyun Kim