Principal Portfollios: The Multi-Signal Case


In this replication paper, we extend Kelly, Malamud, and Pedersen (2021)’s new asset pricing framework to allow incorporating multiple predictive signals into optimal principal portfolios. Empirically, we find that the multi-signal theory is valuable for combining signals, improving a naive combination of single signal principal portfolios.

Songrun He
Songrun He
Ph.D. Student in Finance

I am a Ph.D. student in finance at WUSTL with an interest in asset pricing, investment strategies, asset management, machine learning and deep learning in finance, textual analysis and high-frequency finance.