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This paper considers extensions of the Black-Litterman(BL) portfolio optimization model. Recognizing only the expected returns of the stocks are updated by investor's private information in traditional BL model, we extend such approach by integrating the information of the variance(volatility) of the stock from the correspondent options. By using the inverse optimization technique, it is possible...
Due to the transaction cost and other market friction, investor usually holds only small number of stocks to construct portfolio. This common phenomena motives us to study the cardinality constrained portfolio optimization model. Instead of using the traditional mean-variance criteria, we use the Conditional Value-at-Risk(CVaR) as the risk measure to build the cardinality constrained portfolio optimization...
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