Enhanced Portfolio Optimization
针对标准均值方差优化在实践中效果差的问题，提出一种简单统一的增强型投资组合优化方法，应用于股票和全球资产类别的动量策略，发现能产生显著的超额收益。
Portfolio optimization should provide large benefits for investors, but standard mean–variance optimization (MVO) works so poorly in practice that optimization is often abandoned. Many of the approaches developed to address this issue are surrounded by mystique regarding how, why, and whether they really work. So, we sought to simplify, unify, and demystify optimization. We identified the portfolios that cause problems in standard MVO, and we present here a simple “enhanced portfolio optimization” method. Applying this method to industry momentum and time-series momentum across equities and global asset classes, we found significant alpha beyond the market, the 1/N portfolio, and standard asset pricing factors.