This paper investigates the asymmetric impact of global economic policy uncertainty (GEPU)
on global asset allocation. We employ the Double Asymmetric GARCH-MIDAS (DAGM) …

We introduce a new dimension in constructing relative investor views for the Black-Litterman
model by incorporating fear/greed technical indicator predictions as a proxy for investor …

Elevate your game in the face of challenging market conditions with this eye-opening guide
to portfolio management Investing Amid Low Expected Returns: Making the Most When …

Advances in financial technology have led to the development of easy-to-use online
platforms known as robo-advisors or digital-advisors, offering automated investment and …

For many households, investing for retirement is one of the most significant decisions and is
fraught with uncertainty. In a classic study in behavioral economics, Benartzi and Thaler …

Portfolio optimization is the basic quantitative approach for finding optimal portfolio weights.
It has become increasingly important as portfolio construction involves more and more data …

The Black-Litterman model extends the framework of the Markowitz Modern Portfolio Theory
to incorporate investor views. We consider a case where multiple view estimates, including …

Abstract The Black–Litterman model is a widely used and well established application of the
Bayesian framework to asset allocation problems. It is, however, difficult to calibrate, as it …

Abstract The Black–Litterman model improves the Markowitz portfolio selection model by
balancing capital asset pricing model portfolio returns with the investor's views. The model …

In this paper, we present an integrated approach to portfolio construction and optimization,
leveraging high-performance computing capabilities. We first explore diverse pairings of …