Post-LASSO quantile regression portfolios with Belloni-Chernozhukov tuning achieve the lowest out-of-sample expected shortfall in 3 of 4 US equity test configurations.
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Critical Decisions for Asset Allocation via Penalized Quantile Regression
Post-LASSO quantile regression portfolios with Belloni-Chernozhukov tuning achieve the lowest out-of-sample expected shortfall in 3 of 4 US equity test configurations.