By: Eric Sorensen, Ronald Hua, Edward Quin & Robert Schoen, PanAgora Asset Management
Published: November 2004, Journal of Portfolio Management 

Excerpt:

“Modern portfolio management represents the search for the highest expected return, given a rigorous risk specification.  The tools of the modern manager include portfolio risk models, alpha models that forecast security returns and implementation techniques that preserve portfolio value as the portfolio evolves.  In a sense, the moden portfolio team (or firm) might be considered the assembler of efficient portfolios that maximizes the performance derived from the value-added of the team’s proprietary information sources.

“[In this paper] We address the combining of such information sources…[and] investigate the diversification across combinations of alpha sources to gain insight into manageing active portfolios.”

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