The Black–Litterman model is one of the most popular models in quantitative finance, with
numerous theoretical and practical achievements. From the standpoint of investment theory …

We compare the distributions of terminal wealth obtained from implementing the optimal
investment strategies associated with the different approaches to dynamic mean-variance …

In this article, the authors propose a comprehensive framework for simultaneously allocating
assets among active, passive, and factor investments while accounting for the uncertainty in …

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has
triggered stock market shocks. As a result of this situation, investors prefer to move their …

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to
their supposed ability to offer a better risk–return trade-off than traditionally structured …

The authors propose a general framework referred to as Black–Litterman–Bayes (BLB) for
constructing optimal portfolios for factor-based investing. In the spirit of the classical Black …

Abstract Around the world, Index Arbitrage and ETF Arbitrage remains a major problem (this
chapter does not cover the arbitrage of Mutual Funds). The US Congress and many …

We present a model based on trend filtering and regularization for performing factor
analysis. Furthermore, the trend filtering method proposed in our model allows incorporating …

We present a data-driven neural network approach to find optimal dynamic (multi-period)
factor investing 6 strategies in the presence of transaction costs. The factor investing …

In this article, the authors construct portfolios by integrating quantitative factors in the
portfolio optimization problem using their normalized score values in a constraint. The …