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이영호(Youngho Lee),송정민(Jungmin Song),박기경(Gigyoung Park),정익균(Ikkyun Jung) 대한산업공학회 2011 대한산업공학회 추계학술대회논문집 Vol.2011 No.11
In this paper, we deal with sector investment strategy by implementing the black-litterman model that expert evaluation and sector rotation momentum. Expert evaluation expresses the relative performance of a sector compared with the market and sector rotation momentum strategy measures actively a significant sector anomaly. In addition, we consider cardinality constraint and weight constraint. Finally, computational results show that the proposed investment strategy provides better performance.