From Model Output to Portfolio Authority

A one-page Portfolio Authority Record for investment committees deciding whether a model should manage real capital. Turns model-generated weights into a bounded decision: how much capital the model may manage, for how long, under what conditions, and what replaces it if those conditions fail. In the worked illustration, a historical-mean return forecast used as a trading signal underperforms an equal-weight incumbent by 66–81 basis points per year across common estimation windows. Accepted 2026-09-06 by editor Frank J. Fabozzi for the special issue "Communicating with Clients, Boards, and Regulators in the Age of Complexity"; DOI and Version of Record pending.

@article{2026_model_output_portfolio_authority,
  title  = {From Model Output to Portfolio Authority},
  author = {Samir Varma},
  journal = {Journal of Portfolio Management (forthcoming)},
  year   = {2026},
}