Fuzzy views on Black-Litterman portfolio selection model

DOI10.1007/S11424-017-6330-2zbMATH Open1417.91447OpenAlexW2774750511MaRDI QIDQ1621186FDOQ1621186

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

Recommendations

• Black-Litterman model with multiple experts' linguistic views
• Application of fuzzy theory to the investment decision process
• Fuzzy investment portfolio selection models based on interval analysis approach
• scientific article; zbMATH DE number 2148571
• On fuzzy portfolio selection problems

zbMATH Keywords

fuzzy numberportfolio selectionBlack-Litterman optimizationfuzzy covariance

Mathematics Subject Classification ID

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

Cites Work

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

This page was built for publication: Fuzzy views on Black-Litterman portfolio selection model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1621186)