Robust Bayesian Portfolio Optimisation: Higher Moments and the Distorting Effects of Constraints by Wilson, Byron

“…It was determined that a 123/23 portfolio resulted in a significant improvement in the expression of the investor views as well as a dramatic increase portfolio utility was observed. In summary, incorporating higher order moments and applying the suite of diagnostic tools to the Black-Litterman framework, a transparent portfolio optimisation methodology that effectively utilises the human decision making and investor preferences is obtained.…”
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