New arXiv paper on optimizing portfolios with directional views
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Ojas Kumar and co-authors have published a new quantitative finance paper on arXiv, exploring whether incorporating directionally correct expert views can improve portfolio optimization outcomes. Inspired by the Black-Litterman framework, this study finds that under simple Markowitz model settings, a small amount of directionally correct information can significantly improve investment decisions. Empirical results show that after incorporating directionally correct expert views, simplified Markowitz-type models perform comparably to end-to-end models.
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- arXiv q-finDirectionally Correct Expert Views in Portfolio Optimization
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.
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