Black-Litterman Model with Multiple Experts’ Linguistic Views

Marcin Bartkowiak , Aleksandra Rutkowska

Abstract

This paper presents fuzzy extensions of the Black-Litterman portfolio selection model. Black and Litterman identified two sources of information about expected returns and combined these two sources of information into one expected return formula. The first source of information is the expected returns that follow from the Capital Asset Pricing Model and thus should hold if the market is in equilibrium. The second source of information is comprised of the views held by investors. The presented extension, owing to the use of fuzzy random variables, includes two elements that are important from the point of view of practice: linguistic information and the views of multiple experts. The paper introduces the model extension step-by-step and presents an empirical example.
Author Marcin Bartkowiak (WIiGE / KMS)
Marcin Bartkowiak,,
- Department of Applied Mathematics
, Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
Pages35-43
Publication size in sheets0.5
Book Ferraro Maria Brigida, Giordani Paolo, Vantaggi Barbara, Gagolewski Marek, Ángeles Gil María, Grzegorzewski Przemysław, Hryniewicz Olgierd (eds.): Soft Methods for Data Science, Advances in Intelligent Systems and Computing, vol. 456, 2017, Springer, ISBN 978-3-319-42971-7, [978-3-319-42972-4], 535 p., DOI:10.1007/978-3-319-42972-4
Keywords in Englishportfolio optimization, linguistic variables, fuzzy random variable, Black-Litterman model
DOIDOI:10.1007/978-3-319-42972-4_5
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 12-03-2020, ChapterFromConference
Publication indicators Scopus Citations = 0; WoS Citations = 0
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