In the realm of investment decision-making, it is widely recognized that effective decision-making necessitates the integration of various knowledge domains. This paper presents a novel approach to estimating investors’ views in the Black-Litterman model by accumulating evidence from various...

The Bayes-Stein model provides a framework for remedying parameter uncertainty in the Markowitz mean-variance portfolio optimization. The classical version, however, suffers from estimation errors of model components and fails to consistently outperform the naive 1/N asset allocation rule. We...