老师
关于AO中,MVO的关于sensitive to the small change缺点完善里面的如下总结,麻烦老师帮忙看看是否对
- Reverse的缺点,not involve the Manager's view
- BL的优点,involve the Manager's view; well diversified
- Resampling,优点:stable and well diversifed, 缺点:over diversified, concave, estimation error, lack of theory foundation
那reverse的准确优点是什么呢?难道只是take global portfolio weight as a input? BL的缺点是什么呢?
谢谢