RT Journal Article
SR Electronic
T1 Practical Applications of Enhanced Mean-Variance Portfolios: <em>A Controlled Integration of Quantitative Predictors</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 5
DO 10.3905/pa.2014.2.2.077
VO 2
IS 2
A1 Lars Kaiser
A1 Marco J. Menichetti
A1 Aron Veress
A1 Gauri Goyal
YR 2014
UL https://pm-research.com/content/2/2/1.12.abstract
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