Black-Litterman model with multiple experts' linguistic views

DOI10.1007/978-3-319-42972-4_5MaRDI QIDQ5348613zbMATH OpenOpenAlexFDO

Authors Marcin Bartkowiak, Aleksandra Rutkowska

Publication date 18 August 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42972-4_5

zbMATH Keywords

Black-Litterman modelcapital asset pricing modelfuzzy extensionsmarketmodel extensionportfolio selection modelrandom variables

Mathematics Subject Classification ID

Statistical aspects of fuzziness, sufficiency, and information (62B86) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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Cites work

• A unified approach to fuzzy random variables
• Fuzzy random variables
• Fuzzy random variables - I. Definitions and theorems
• Optimization models using fuzzy sets and possibility theory
• Overview on the development of fuzzy random variables
• The concept of a linguistic variable and its application to approximate reasoning. I
• The variance and covariance of fuzzy random variables and their applications

Cited in

(3)

• Fuzzy views on Black-Litterman portfolio selection model
• A study of Black-Litterman model based on a multi-index information ranking method
• A generalized Black-Litterman model

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