2023/07/07 by Chi-Lin Li, Li, Chi-Lin, Chung-Han Hsieh +1
Decision Sciences · Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stock Market Forecasting Methods
paper · pdf · doi:10.48550/arxiv.2307.03391
openalex publication_date 2023/07/07 · openalex created_date 2023/07/11 · openalex updated_date 2026/07/28
This paper proposes a unified adaptive portfolio-management framework that combines factor-based view generation, Black-Litterman (BL) posterior estimation, EWMA covariance estimation, and mean-variance optimization. The key mechanism is a dynamic sliding window that adjusts the estimation horizon according to realized portfolio volatility, thereby updating factor estimates, BL posterior expected returns, and portfolio weights over time. In a ten-year empirical study of the top 100 market-capitalization constituents of the S&P 500 with turnover transaction costs, the proposed method outperforms dynamic mean-variance optimization without BL views and provides stronger downside risk control, while its relative performance remains benchmark-dependent.