Question: Suppose you believe that it is two times more likely that investment returns for each of the next five years will be more like the

Suppose you believe that it is two times more likely that investment returns for each of the next five years will be more like the period 1992–2001 than the period 1972–1991. For example, the chance that next year will be like 1993 has twice the probability that next year will be like 1980. This belief causes your bootstrapping analysis to give more weight to the recent past. How would you factor this belief into your portfolio optimization model?

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