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- W3125019872 abstract "We propose a new approach that allows for incorporating qualitative views, such as ordering information, into estimates of future asset returns within the Black-Litterman model. We develop a mathematical framework and numerical computation methods for this setting. We find importance sampling to be the most appropriate numerical approach in terms of accuracy and computation time. Using empirical stock market data, we find our extended Black-Litterman model to process ordering information on future asset returns better than two previously suggested approaches. Our new estimator is successfully evaluated in the context of mean-variance portfolio optimization." @default.
- W3125019872 created "2021-02-01" @default.
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- W3125019872 date "2019-01-01" @default.
- W3125019872 modified "2023-10-18" @default.
- W3125019872 title "Mean-Variance Portfolio Optimization Based on Ordinal Information" @default.
- W3125019872 doi "https://doi.org/10.2139/ssrn.3360250" @default.
- W3125019872 hasPublicationYear "2019" @default.
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