"*Quantitative Portfolio Optimization: Advanced Techniques and Applications* offers a comprehensive exploration of portfolio optimization, tracing its evolution from Harry Markowitz's Modern Portfolio Theory to contemporary techniques. The book combines foundational models like CAPM and...

We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

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, the Black-Litterman model allows a seamless incorporation of Bayesian statistics into the portfolio optimization...

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-Litterman model, the framework allows for the incorporation of investor views and different priors on factor...