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..
Slides for a a later talk, never given due to inclement weather are
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