Fuzzy Views on Black-Litterman Portfolio Selection Model

doi:10.1007/s11424-017-6330-2

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	Fuzzy Views on Black-Litterman Portfolio Selection Model
	Fang, Yong1 ; Bo, Lin 1; Zhao, Daping 2; Wang, Shouyang1
	2018-08-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	31 期号:4 页码:975-987
摘要	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.
关键词	Black-Litterman optimization fuzzy covariance fuzzy number portfolio selection
DOI	10.1007/s11424-017-6330-2
语种	英语
资助项目	National Natural Science Foundation of China[71271201] ; National Natural Science Foundation of China[71631008]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000430532000008
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29962
专题	系统科学研究所
通讯作者	Zhao, Daping
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China
推荐引用方式 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.