A more human-like portfolio optimization approach
Volume: 256, Issue: 1, Pages: 252 - 260
Published: Jan 1, 2017
Abstract
Black and Litterman proposed an improvement to the Markowitz portfolio optimization model. They suggested the construction of views to represent investor’s opinion about the future of stocks’ returns. However, conceiving these views can be quite confusing. It requires the investor to quantify several subjective parameters. In this article, we propose a new way of creating these views using Verbal Decision Analysis. Questionnaires were designed...
Paper Details
Title
A more human-like portfolio optimization approach
Published Date
Jan 1, 2017
Volume
256
Issue
1
Pages
252 - 260
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