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Bayesian inference 1 Black-Litterman model 1 Hit-and-run algorithm 1 Markov chain Monte Carlo 1 Portfolio selection 1
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Chiarawongse, Anant 1 Kiatsupaibul, Seksan 1 Roy, Benjamin Van 1 Tirapat, Sunti 1
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Journal of Banking & Finance 1
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Portfolio selection with qualitative input
Chiarawongse, Anant; Kiatsupaibul, Seksan; Tirapat, Sunti; … - In: Journal of Banking & Finance 36 (2012) 2, pp. 489-496
We formulate a mean–variance portfolio selection problem that accommodates qualitative input about expected returns and provide an algorithm that solves the problem. This model and algorithm can be used, for example, when a portfolio manager determines that one industry will benefit more from...
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