Fuzzy Views on Black-Litterman Portfolio Selection Model View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-08

AUTHORS

Yong Fang, Lin Bo, Daping Zhao, Shouyang Wang

ABSTRACT

In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman models are constructed with fuzzy views and fuzzy random views respectively. In the models, expected returns and uncertainty matrix of views are redefined and the views are formulated by fuzzy approaches suitably. Then the models are tested with data from Chinese financial markets. Empirical results show that the fuzzy random views model performs the best, and both the fuzzy models are better than the traditional ones, demonstrating that the fuzzy approaches can contain more information in the views and measure the uncertainty more correctly. More... »

PAGES

975-987

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11424-017-6330-2

DOI

http://dx.doi.org/10.1007/s11424-017-6330-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1099691696


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