Statistics and Data Science Seminar: Quantile Portfolio Optimization, by Lingjie Ma
March 11, 2026
4:15 PM - 5:05 PM
Lingjie Ma (UIC, Department of Finance): Quantile Portfolio Optimization
It is well known that asset returns usually do not follow a normal distribution, rather, they have long and fat tails. This paper focuses on the quantile portfolio methodology, which considers the whole distribution of asset returns and employs expected loss as a risk measurement. In particular, we explore statistical properties of tau risk and propose related theories of quantile portfolio optimization. We also introduce portfolio performance terms for the quantile portfolio framework.
Please click here to make changes to, or delete, this seminar announcement.
Date posted
Mar 9, 2026
Date updated
Mar 9, 2026
Speakers
