Experton approach to vague information in portfolio selection problem with many views

Aleksandra Rutkowska , Marcin Bartkowiak

Abstract

This paper presents many expert fuzzy extensions of the Black-Litterman portfolio selection model. Black and Litterman identified two sources of information regarding the expected returns, and they combined these two sources of information in one expected return formula. The first source of information is the expected returns from the Capital Asset Pricing Model and thus should hold if the market is in equilibrium. The second source of information is the views held by the investors. The presented extension, owing to the use of a fuzzy random variable and experton, includes two elements that are important from a practical perspective: linguistic information and the multiple experts’ views. This paper introduces the model extension sequentially and then illustrates it by empirical example.
Author Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
, Marcin Bartkowiak (WIiGE / KMS)
Marcin Bartkowiak,,
- Department of Applied Mathematics
Pages142-149
Publication size in sheets0.5
Book Stepnicka Martin (eds.): Proceedings of the 2019 Conference of the International Fuzzy Systems Association and the European Society for Fuzzy Logic and Technology (EUSFLAT 2019), Atlantis Studies in Uncertainty Modelling, vol. 1, 2019, Atlantis Press, ISBN 978-94-6252-770-6, 842 p.
Keywords in Polishmodel Blacka-Littermana, wybór portfela, zmienne losowo-rozmyte, expertony
Keywords in EnglishBlack-Litterman model, Portfolio selection, Fuzzy random variable, Experton
URL https://www.atlantis-press.com/proceedings/eusflat-19/125914792
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 31-01-2020, ChapterFromConference
Citation count*1 (2020-09-19)
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