Portfolio Construction and Systematic Trading with Factor Entropy Pooling
Portfolio optimization, studied by Meucci, Ardia and Colasante in 2011 with Bayesian methods. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our approach improves on the implied returns a-la-Black-Litterman, and the ensuing distribution can be used as the starting point for further portfolio construction.”
StrategyPortfolio optimization
TechniqueBayesian
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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