Dynamic portfolio management with views at multiple horizons

摘要

We introduce Dynamic Entropy Pooling, a quantitative technique to perform dynamic portfolio construction with discretionary, non-synchronous views. With Dynamic Entropy Pooling, the portfolio manager can embed in the allocation process subjective views with life spans ranging from minutes to years, calendar views, autocorrelation stress-testing, and the traditional views on expectations, correlations and volatilities.After introducing the theoretical framework for Dynamic Entropy Pooling, we show how to solve the respective portfolio construction problem by means of dynamic programming with time-dependent coefficients. To understand the optimal exposures ensuing from Dynamic Entropy Pooling we analyze a variety of relevant sub-cases and we present some case-studies.