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http://dx.doi.org/10.7737/KMSR.2012.29.1.057

Sector Investment Strategy with the Black-Litterman Model  

Song, Jung-Min (고려대학교 정보경영공학전문대학원)
Lee, Young-Ho (고려대학교 산업경영공학부)
Park, Gi-Gyoung (고려대학교 정보경영공학전문대학원)
Publication Information
Korean Management Science Review / v.29, no.1, 2012 , pp. 57-71 More about this Journal
Abstract
In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.
Keywords
Black-Litterman Model; Sector Investment Strategy; Sector Rotation Momentum Strategy; Integer Programming; Portfolio Optimization;
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