Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization

17 Pages Posted: 14 May 2013

See all articles by Gabriele Susinno

Gabriele Susinno

Pictet Asset Management

Olivier Powell

Unigestion SA

Jeremie Smaga

Lombard Odier Darier Hentsch & Cie

Date Written: June 1, 2012

Abstract

This note presents the Blender, a concept that was developed at Unigestion by the Quantitative Research Hedge Fund Team. In the context of portfolio optimization we propose Blended portfolios as an alternative to efficient portfolios.

Albeit Blended portfolios are sub-optimal in the mean-variance sense, they have the property of being less ''extreme'' in the allocations proposed. The Blender approach is also an elegant and simple way to design a portfolio optimization process which amplifies the synergy between qualitative expectations and numerical techniques.

The purpose of this note is to explain, technically, the concepts that define the Blender. Although the concepts presented in this note have been implemented in the form of a Matlab class, we do not intend to explain here how to use the class.

Keywords: Black-Litterman, Portfolio Optimization, Hedge Funds, Qualitative Views

JEL Classification: G1, C6, C8, C9

Suggested Citation

Susinno, Gabriele and Powell, Olivier and Smaga, Jeremie, Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization (June 1, 2012). Available at SSRN: https://ssrn.com/abstract=2259690 or http://dx.doi.org/10.2139/ssrn.2259690

Gabriele Susinno (Contact Author)

Pictet Asset Management ( email )

Route des Acacias 60
Geneva, 1211
Switzerland

HOME PAGE: http://www.am.pictet/

Olivier Powell

Unigestion SA ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

Jeremie Smaga

Lombard Odier Darier Hentsch & Cie ( email )

Rue de la Corraterie 11
Genève, 1204
Switzerland

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