| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089731 | Journal of Banking & Finance | 2012 | 8 Pages |
Abstract
⺠We formulate a portfolio selection problem that accommodates qualitative views. ⺠Qualitative views are expressed as linear inequalities among expected returns. ⺠We provide an MCMC algorithm that efficiently solves the problem. ⺠Computational results illustrate advantages of our approach over alternatives.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Anant Chiarawongse, Seksan Kiatsupaibul, Sunti Tirapat, Benjamin Van Roy,