PT - JOURNAL ARTICLE AU - Lars Kaiser AU - Marco J. Menichetti AU - Aron Veress ED - Goyal, Gauri TI - Practical Applications of Enhanced Mean-Variance Portfolios: <em>A Controlled Integration of Quantitative Predictors</em> AID - 10.3905/pa.2014.2.2.077 DP - 2014 Oct 31 TA - Practical Applications PG - 1--5 VI - 2 IP - 2 4099 - https://pm-research.com/content/2/2/1.12.short 4100 - https://pm-research.com/content/2/2/1.12.full AB - Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors Lars Kaiser Marco J. Menichetti Aron Veress Estimating expected returns on assets is tricky business. Errors are common, injecting downside risk into mean-variance portfolios. The authors of this research introduce a quantitative approach that accounts for estimation errors and better limits downside risk. It builds on the classic Black-Litterman Model , and practitioners can replicate it.Why should you read this report? Because the authors’ approach may work for you.“Even if you identify factors or parameters to estimate returns relatively well in the past, the predictive quality is likely to vary over time,” notes co-author Lars Kaiser, Research Assistant at the University of Liechtenstein .TOPICS: Portfolio construction, statistical methods, performance measurement