Enhanced optimal portfolios - A controlled integration of quantitative predictors

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Reference

Kaiser, L., Veress, A., & Menichetti, M. J. (2012). Enhanced optimal portfolios - A controlled integration of quantitative predictors. Paper presented at the 25th Australasian Banking and Finance Conference, Sydney (Australia).

Publication type

Presentation at Conference

Abstract

No unanimous agreement exists on the optimality of market-capitalization weighted portfolios, nor on the potential benefits of active portfolio management. Starting from the classical Black-Litterman approach, we show that historically generated excess return above the market portfolio can be retained whilst constraining additional downside risk. Weighting factors required for the mixed estimation can be directly derived from predictive regressions in form of the goodness-of-fit measure. This enables an unambiguous determination of certainty levels in a dynamic multi-period framework.

Research

Quantitative Investment Management and Portfolio Optimisation
PhD-Thesis, March 2011 until February 2015 (finished)

Overall, the proposed dissertation project aims to contribute to academic literature by identifying research gaps in the field of quantitative investment management and answering the respective by ... more ...

Persons

Organizational Units

  • Institute for Financial Services
  • Chair in Business Administration, Banking and Financial Management

DOI

http://dx.doi.org/http://www.asb.unsw.edu.au/schools/bankingandfinance/newsandevents/afbc/Pages/25thaustralasianfinancebankingconference.aspx