Discovering Bayesian Market Views for Intelligent Asset Allocation
Assume there is a pair of incompatible views{p,q}\{p,q\}and{p,q′}\{p,q^{\prime}\},q≠q′q\neq q^{\prime}. Both views are either explicitly stated or can be derived from a set ofkkviews. Hence, there exist two different linear combinations, such that: ∑i=1kaipi=p∑i=1kaiqi=q\sum\limits_{i=1}^{k}a_{i}p_{i}=p\qquad\sum\limits_{i=1}^{k}a_{i}q_{i}=...