{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,12]],"date-time":"2026-10-12T21:45:23Z","timestamp":1791841523922,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":22,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Institutional investors rarely choose between adopting an optimized portfolio in full and ignoring it. They decide how much authority to give the optimizer relative to an approved policy portfolio. This article studies that decision using quarterly, point-in-time holdings of the iShares S&amp;amp;P 100 ETF and daily constituent data from 2006 through 2026. A long-only global minimum-variance (GMV) portfolio identifies a risk-reducing direction in 97.3% of the 75 out-of-sample quarters, but predicted and realized variance reductions have a correlation of only 0.23. Fixed 25%, 50%, and 75% implementations capture 41%, 71%, and 91% of full GMV's mean realized variance reduction while progressively increasing tracking error, turnover, concentration, and capacity usage. A rolling rule learned from prior portfolio-level delivery does not improve on a matched fixed rule. The evidence supports a governance interpretation: the optimizer's direction can be useful even when its recommended distance is unreliable, so model authority should be budgeted, monitored, and changed only through a pre-specified implementation process.&amp;nbsp;<\/jats:p>","DOI":"10.2139\/ssrn.7564980","type":"posted-content","created":{"date-parts":[[2026,10,7]],"date-time":"2026-10-07T12:51:31Z","timestamp":1791377491000},"source":"Crossref","is-referenced-by-count":0,"title":["Portfolio Optimization: Direction, Distance, and Model Authority"],"prefix":"10.2139","author":[{"given":"Zhuohang","family":"Li","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1111\/j.1540-6261.2006.00836.x","article-title":"The Cross-Section of Volatility and Expected Returns","volume":"61","author":"A Ang","year":"2006","journal-title":"Journal of 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