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Abstract
The digital transformation is creating a need for mass customization of tactical asset allocation (TAA). Asset managers publish TAA qualitative views regularly. However, the construction of robust portfolios from such views at large scale is often oversimplified. This article proposes a robust framework that enables the industrialization of highly customized TAA portfolios from a single set of investment views. The authors’ framework links the conviction of investment views to the consumption of risk and derives the expected returns accordingly. They show that robust optimization brings the level of consistency required for full automation of portfolio construction. They also show how a factor-based risk model can provide the level of transparency necessary for the interpretability of the framework.
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UK: 0207 139 1600