Portfolio Construction When Regimes are Ambiguous

Working paper for a new concept called relevance to estimate regime-specific expected returns, standard deviations, and correlations. This relevance-based approach to portfolio construction explicitly accounts for the importance of an observation to forming an estimate, and it seamlessly enables the inclusion of multiple regime indicators in a principled way.


2023-11-01 update:
Published in the Journal of Portfolio Management Volume 50, Number 1 (November 2023).