RT Journal Article
SR Electronic
T1 A Simple Procedure for Combining Expert Opinion with Statistical Estimates to Achieve Superior Portfolio Performance
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 49
OP 58
DO 10.3905/jpm.2016.42.4.049
VO 42
IS 4
A1 Mark H.A. Davis
A1 Sébastien Lleo
YR 2016
UL https://pm-research.com/content/42/4/49.abstract
AB 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.TOPICS: Performance measurement, portfolio construction