3 papers
q-fin.PM2026
Bayesian Parametric Portfolio Policies
Miguel C. Herculano
Parametric portfolio policies map predictors into portfolio weights without modelling returns, making them a natural tool for factor timing. With many predictors, if the policy has…
econ.EM2024
Probabilistic Targeted Factor Analysis
Miguel C. Herculano, Santiago Montoya-Blandón
We develop Probabilistic Targeted Factor Analysis (PTFA), a likelihood-based framework for constructing latent factors that are explicitly targeted to variables of economic interes…
q-fin.PM2024
Betting Against (Bad) Beta
Miguel C. Herculano
Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor…