Practical Applications of Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors

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Reference

Kaiser, L., Veress, A., & Menichetti, M. J. (2014, ). Practical Applications of Enhanced Mean-Variance Portfolios: A Controlled Integration of Quantitative Predictors. Institutional Investor Journals, 2, 30-34.

Publication type

Magazine Article

Abstract

Portfolio managers grapple with errors in their estimation of expected returns on assets they select according to specific factors. Here’s a new quantitative approach that accounts for estimation errors and better limits downside risk in mean-variance portfolios. The authors propose a model that builds on the classical Black–Litterman approach by replacing subjective returns predictions with quantitative forecasts. Their Journal of Portfolio Management article shows how a practitioner may replicate their model. Read this report to determine if such a model may be right for you.

Persons

Organizational Units

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