3 papers
q-fin.PM2026
Bayesian Parametric Portfolio Policies
Miguel C. Herculano
Parametric Portfolio Policies (PPP) estimate optimal portfolio weights directly as functions of observable signals by maximizing expected utility, bypassing the need to model asset…
econ.EM2026
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…