The paper “Mean-variance portfolio optimization based on ordinal information” by Roland Mestel and his co-authors Eranda Cela, Stephan Hafner and Ulrich Pferschy has recently been accepted for publication in the Journal of Banking and Finance. It provides a new approach that allows for integrating qualitative views, in particular ordering information among expected asset returns, in the portfolio optimization framework by Black and Litterman (1991, 1992). Using empirical data the authors find that the new approach mostly achieves higher predictive power than existing approaches from the literature.
Çela, E., Hafner, S., Mestel, R., Pferschy, U, (2021). Mean-variance portfolio optimization based on ordinal information, Journal of Banking and Finance, Vol. 122, DOI: https://doi.org/10.1016/j.jbankfin.2020.105989