Robust Portfolio Optimisation with Multiple Experts

多谢楼上，但是这个好像是很早的版本，有没有发表的版本呢？

楼主是不是要这个啊？
Robust Portfolio Optimization with Multiple Experts
Frank Lutgens Maastricht University and NETSPAR and Peter C. Schotman Maastricht University, CEPR and NETSPAR
July 10, 2008
Abstract:
We consider mean-variance portfolio choice of a robust investor. The investor receives advice from J experts, each with a di®erent prior for expected returns and risk. Given this advice the investor follows a min-max portfolio strategy. We study the structure of the robust mean-variance portfolio and compare its performance with a variety of alternative portfolio strategies. We ¯nd that the robust investor combines the estimates from the di®erent experts. When experts agree on the main factors that generate returns, the robust investor relies on the advice of the expert with the strongest prior. Dispersed advice leads the investor to combine alternative estimates. The investor is likely to outperfrom alternative strategies. The theoretical analysis is supported by numerical simulations for the 25 Fama-French portfolios and for 81 European country and value portfolios. JEL classi¯cations: C11, C44, D80
Keywords: Robust portfolio choice, model uncertainty, estimation uncertainty

是的，非常感谢~