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arXiv · 2510.19271

Managing Portfolios Across the Return Distribution

Jozef Barunik·Lukas Janasek·Attila Sarkany
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Abstract

We develop a dynamic portfolio-choice framework in which investors target the region of the payoff distribution that the portfolio is designed to improve. Out of sample, the estimated policies form an ordered frontier: the policy focused on the downside delivers the strongest left-tail protection and the highest Sharpe ratio, while the policy focused on the upper quantile earns the highest mean return. The gains over volatility-managed portfolios are concentrated in periods when downside-tail dispersion is high. Evidence from fund flows in income, growth and downside protection products supports the interpretation of the quantile index as a reduced-form mandate measure.

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Jozef Barunik, Lukas Janasek, Attila Sarkany. 2025-10-22. Managing Portfolios Across the Return Distribution. https://arxiv.org/abs/2510.19271

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