arXiv q-fin· Ojas Kumar, Sreejit Dey, Sarvesh Ravichandran Iyer, Sandeep Juneja·· 5 hr agoAI Score40
Directionally Correct Expert Views in Portfolio Optimization
Directionally Correct Views in Portfolio Optimization
AI summary
Inspired by the Black-Litterman framework, this study examines whether incorporating directionally correct expert views can improve portfolio optimization. Under a simple Markowitz model setting, a small amount of directionally correct information significantly improves investment decisions. Empirical results show that, after incorporating directionally correct expert views, simplified Markowitz-type models perform comparably to end-to-end models.
Source:arXiv q-fin · arxiv.org