A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance
提出一种简单程序，将统计估计与专家意见结合以预测资产表现，讨论行为偏差影响并给出减少偏差的建模原则，应用线性滤波技术实现动态投资组合优化。
In this article, the authors describe a simple procedure for combining statistical estimates with expert opinions to produce a view of future asset performance. The authors discuss the impact of behavioral bias on these views and propose general modeling principles to reduce this bias. They use standard linear filtering techniques to combine statistical estimates with expert opinions seamlessly and discuss applications to dynamic portfolio optimization. <b>TOPICS:</b>Performance measurement, portfolio construction