How To Creatively MVO Your Ranked Signals (opens in new tab)

Getting ranked inputs as a result of your signal generation process is really common. There’s just a tiny problem. Your portfolio optimiser wants you to pass it expected returns but your signals outputs ranks, what do you do? MVO needs all your inputs to be on compatible scales. However, your rank signals are ordinal, they tell you that stock A is better than stock B, not by how much, and this does not play nicely with your covariance matrices. The question is how to translate that ordinal in...