Within a traditional context of myopic discrete-time mean-variance portfolio investments, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete...

In the classical discrete-time mean-variance context, a method for portfolio optimisation using conditioning information was introduced in 2001 by Ferson and Siegel ([1]). The fact that there are many possible signals that could be used as conditioning information, and a number of empirical...

Within a traditional context of myopic discrete-time mean-variance portfolio optimisation, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was first expressed and solved in concrete...