Boston Slides: Return Forecasting and Portfolio Construction
Introduction to Quantile Regression
• Tail Behavior in Investing: promising and challenging
• Alpha Distribution:
– QRAD-location
– QRAD-probability
• Portfolio Distribution: QRPD
Quantitative Work Alliance for Applied Finance, Education and Wisdom
Introduction to Quantile Regression
• Tail Behavior in Investing: promising and challenging
• Alpha Distribution:
– QRAD-location
– QRAD-probability
• Portfolio Distribution: QRPD