Dynamic portfolio management with views at multiple horizons

Valuable information in early sales proxies: The use of Google search ranks in portfolio optimization

“…Within the prominent framework of Black and Litterman (1991) it is not possible merely to rank assets since we need to specify expected returns. Apart from extensions from Meucci, Ardia, and Colasante (2014) and Meucci and Nicolosi (2016), we are only aware of a study by Zorn (2018), who uses a ranking of equity portfolios based on value indicators. Rather, Almgren and Chriss apply numerous sorting criteria (including sector or stock performance sorts) both for simulated and real data and optimize irrespective of a mean-variance efficient market model.…”

Multi-period power utility optimization under stock return predictability

“…Namely, it can be only presented as an expected utility maximization of the quadratic or exponential utility functions and it may be considered as a second-order approximation for an arbitrary utility. Besides that, it provides a single-period solution, whereas most investment strategies have a multi-period setup with a portfolio rebalancing during the investment horizon (see, Brandt 2009;Meucci and Nicolosi 2016;Zhao et al 2022).…”

Essays in Minimum Relative Entropy Implementations for Views Processing

“…Similar to the James-Stein estimator [Stein, 1955], the MRE framework provides a sound rationale for shrinkage estimates, which blend a pure statistical estimate, such as the historical variance, in order to satisfy additional constraints implied by the market views, such as target bounds on volatilities. MRE approach have already been extensively used in …nance for applications including derivatives pricing ([Avellaneda, 1999], [D'Amico et al, 2003]), portfolio allocation ( [Pezier, 2007]), stress-testing ( [Breuer and Csiszar, 2013]), and, more broadly, in risk and portfolio management [Meucci, 2008], [Meucci, 2013], , [Meucci, 2012b], [Meucci and Nicolosi, 2016].…”