Fuzzy views on Black-Litterman portfolio selection model

DOI10.1007/S11424-017-6330-2MaRDI QIDQ1621186zbMATH OpenOpenAlexFDO

Authors Yong Fang, Lin Bo, Daping Zhao, Shouyang Wang

Publication date 8 November 2018

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-017-6330-2

zbMATH Keywords

fuzzy numberportfolio selectionBlack-Litterman optimizationfuzzy covariance

Mathematics Subject Classification ID

Portfolio theory (91G10) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
• Fuzzy portfolio optimization under downside risk measures
• Fuzzy random variables - I. Definitions and theorems
• Fuzzy sets
• Inverse optimization: a new perspective on the Black-Litterman model
• On possibilistic mean value and variance of fuzzy numbers
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Risk and asset allocation.
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Robust portfolios: contributions from operations research and finance
• Stable distributions in the Black–Litterman approach to asset allocation
• The convergence of set-valued scenario approach for downside risk minimization
• The variance and covariance of fuzzy random variables and their applications
• Understanding of fuzzy optimization: theories and methods

Cited in

(7)

• Research on probability mean-lower semivariance-entropy portfolio model with background risk
• Black-Litterman model with multiple experts' linguistic views
• Fuzzy-Logic-Based Asset Allocation
• Application of fuzzy theory to the investment decision process
• A more human-like portfolio optimization approach
• A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression
• A study of Black-Litterman model based on a multi-index information ranking method

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