Chapter 20: Strategy Synthesis
Portfolio Construction as the Translation Layer intermediate
The same prediction vector can become three different portfolios, and Chapter 20 shows that this translation step can determine which model actually wins.
The same prediction vector can become three different portfolios, and Chapter 20 shows that this translation step can determine which model actually wins.
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References
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Danielle Trichilo, Jeffrey L. Braun
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— The Journal of Portfolio Management
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— McGraw-Hill
The 'Fundamental Law of Active Management' is No Law of Anything
Richard O. Michaud, David Nathaniel Esch, Robert O. Michaud
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An Overview of Optimization Models for Portfolio Management
Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Taehyeon Kang, Frank J. Fabozzi
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— The Journal of Portfolio Management