Hi all,
excuse me for tha naive question, but I'm implementing in MATLAB the Markowitz (mean-variance) model, for Asset Allocation Optimization, by using the portfolio object and related functions available in MATLAB.
In MATLAB it seems possible to define the input mean returns in an arbitrary way, but... sticking to the Markowitz model, should they be only as "historical returns" (the same I use to built the covariance matrix indeed)? Maybe it's only with a model like the Black-Litterman one that I can introduce some views about the (expected) returns, right?
Thanks a lot!