Pessimistic Portfolio Allocation and Choquet Expected Utility
用Choquet期望替代经典期望效用，构建悲观决策下的投资组合优化模型，并将其转化为线性分位数回归问题，适合研究不确定性下资产配置的学者参考。
Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimization based on the Choquet approach may be formulated as a problem of linear quantile regression.