Principal Portfolios: The Multi-Signal Case
12 Pages Posted: 19 Oct 2022 Last revised: 16 Feb 2024
Date Written: February 13, 2024
Abstract
In this short article, we extend Kelly, Malamud, and Pedersen (2023)'s new asset pricing framework to allow incorporating multiple predictive signals into optimal principal portfolios. Empirically, we find that the multi-signal theory is valuable for combining signals and improving a naive combination of single-signal principal portfolios.
Keywords: portfolio choice, mean-variance optimization, naive diversification, predictive signals
JEL Classification: C3, C58, C61, G11, G12, G14
Suggested Citation: Suggested Citation
He, Songrun and Yuan, Ming and Zhou, Guofu, Principal Portfolios: The Multi-Signal Case (February 13, 2024). Available at SSRN: https://ssrn.com/abstract=4245333 or http://dx.doi.org/10.2139/ssrn.4245333
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