Principal Portfolios: The Multi-Signal Case

12 Pages Posted: 19 Oct 2022 Last revised: 16 Feb 2024

See all articles by Songrun He

Songrun He

Washington University in St. Louis - John M. Olin Business School

Ming Yuan

Columbia University

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School

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

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

Songrun He

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States

Ming Yuan

Columbia University

Guofu Zhou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

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