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Fuzzy Views on Black-Litterman Portfolio Selection Model
Fang, Yong1; Bo, Lin1; Zhao, Daping2; Wang, Shouyang1
AbstractIn 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.
KeywordBlack-Litterman optimization fuzzy covariance fuzzy number portfolio selection
Funding ProjectNational Natural Science Foundation of China[71271201] ; National Natural Science Foundation of China[71631008]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000430532000008
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Document Type期刊论文
Corresponding AuthorZhao, Daping
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China
Recommended Citation
GB/T 7714
Fang, Yong,Bo, Lin,Zhao, Daping,et al. Fuzzy Views on Black-Litterman Portfolio Selection Model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(4):975-987.
APA Fang, Yong,Bo, Lin,Zhao, Daping,&Wang, Shouyang.(2018).Fuzzy Views on Black-Litterman Portfolio Selection Model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(4),975-987.
MLA Fang, Yong,et al."Fuzzy Views on Black-Litterman Portfolio Selection Model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.4(2018):975-987.
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