Choquet Risk


This is an archive page for software and text for a paper titled Pessimistic Portfolio Allocation and Choquet Expected Utility by Gilbert Bassett, Roger Koenker and Gregory Kordas.

A preliminary version of the paper is available here. The paper is available in ps.
Or in pdf. The published version appears in the J. of Financial Econometrics. Corrections to the published version are available in errata.. Slides for a talk on the paper can be found here..

The main objective of this work is to connect the theoretical work of Schmeidler (1989) on decision making with Choquet expected utility to recent developments in risk assessment and show that portfolio optimization for Choquet decision makers with linear utility can be conducted by solving a special class of quantile regression problems. Software for the project is available as an R package and is available as a R source package as qrisk_0.05.tar.gz, and as an Windows binary package as qrisk_0.05.zip. For further details on installation and R more generally see CRAN. CRAN. As the version number of the qrisk package indicates this is an early alpha-stage and we would greatly value any comments and suggestions that users may have about it. Comments should be directed to roger@ysidro.econ.uiuc.edu