论文标题
规范投资组合：最佳资产和信号组合
Canonical Portfolios: Optimal Asset and Signal Combination
论文作者
论文摘要
本文提出了一个新的框架，用于分析最佳资产和信号组合问题。我们的方法基于Brandt和Santa-Clara（2006）引入的动态投资组合选择问题，并由两个阶段组成。首先，我们将他们的原始投资问题重新制定为可处理的问题，该问题使我们能够为最佳投资组合策略提供封闭形式的表达，该政策可扩展到大型横断面财务应用程序。其次，我们将选择相关资产和信号的投资组合的问题重新提出，以通过对Hotelling的规范相关性分析的镜头选择一组不相关的托管投资组合（1936）。不相关的托管投资组合的新投资环境为我们最佳投资组合政策的联合相关结构提供了独特的经济见解。我们还运营我们的理论框架，以弥合理论与实践之间的差距，展示了我们提出的方法对自然竞争基准的提高性能。
This paper presents a novel framework for analyzing the optimal asset and signal combination problem. Our approach builds upon the dynamic portfolio selection problem introduced by Brandt and Santa-Clara (2006) and consists of two stages. First, we reformulate their original investment problem into a tractable one that allows us to derive a closed-form expression for the optimal portfolio policy that is scalable to large cross-sectional financial applications. Second, we recast the problem of selecting a portfolio of correlated assets and signals into selecting a set of uncorrelated managed portfolios through the lens of Canonical Correlation Analysis of Hotelling (1936). The new investment environment of uncorrelated managed portfolios offers unique economic insights into the joint correlation structure of our optimal portfolio policy. We also operationalize our theoretical framework to bridge the gap between theory and practice, showcasing the improved performance of our proposed method over natural competing benchmarks.
