Starting from a sample of Sloan Digital Sky Survey quasars appearing also in the Two-Micron All-Sky Survey, we study the continuum properties of ~1000 objects observed in eight bands, from near-infrared to ultraviolet. We construct the mean spectral energy distribution (SED) and compare and contrast the continua of radio-loud and radio-quiet quasar (RLQ and RQQ, respectively) objects. The SEDs of the two populations are significantly different, in the sense that RLQs are redder with power-law spectral indices <alpha_RLQ_>=0.55+/-0.04 and <alpha_RQQ_>=0.31+/-0.01 in the spectral range between 10^14.5^ and 10^15.35^Hz. This difference is discussed in terms of different extinctions, different disc temperatures, or slopes of the non-thermal component.