A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation

Stochastic optimisation has found a fertile ground for applications in finance. One of the greatest challenges remains to incorporate a set of scenarios that accurately models the behaviour of financial markets, and in particular their behaviour during crashes and crises, without sacrificing the the tractability of the optimal investment policy. This paper shows how to incorporate return predictions and crash predictions as views into continuous time asset allocation models