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Active Portfolio Construction When Risk And Alpha Factors Are Misaligned

last modified on 13 May 2019 UTC

categories: Portfolio Management Analytics, Portfolio Construction and Optimization, PMA, Article, KARELS Ralph, general

When looking at active portfolio optimization, there are three main ingredients: The portfolio manager's return forecasts (alphas), a portfolio risk forecast and a risk aversion parameter.


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Active Portfolio Construction When Risk And Alpha Factors Are Misaligned