A more human-like portfolio optimization approach
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- 作者：Thuener Silvaa ; tsilva@inf.puc-rio.br" class="auth_mail" title="E-mail the corresponding author ; Plá ; cido Rogé ; rio Pinheirob ; placido@unifor.br" class="auth_mail" title="E-mail the corresponding author ; Marcus Poggi ; a ; poggi@inf.puc-rio.br" class="auth_mail" title="E-mail the corresponding author ; marcus.poggi@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Decision support systems ; Black&ndash ; Litterman ; Portfolio optimization ; Asset allocation ; Verbal Decision Analysis
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：256
- 期：1
- 页码：252-260
- 全文大小：1214 K
文摘
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We propose a new method for constructing a portfolio aligned with the investor’s profile and personal perspective.
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We propose a new way to create Black–Litterman views.
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Our method is more qualitative than other Black–Litterman variants and helps to quantify the subjective views.
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We analyze the sensitivity of the method through practical experiments.