Sector Investment Strategy with the Black-Litterman Model
作者： Jung-Min Song , Young-Ho Lee , Gi-Gyoung Park
DOI: 10.7737/KMSR.2012.29.1.057
关键词:
摘要: In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and rotation momentum. Expert analyzes relative performance of industry compared market, while momentum reflects price impact significant anomaly. addition, consider portfolio cardinality weight constraints within context mean-variance optimization. Finally, demonstrate empirical viability proposed KOSPI 200 data.
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