Black-litterman model with intuitionistic fuzzy posterior return
Krzysztof Echaust , Krzysztof Piasecki
AbstractThe main objective of this paper is to present a variant of the Black-Litterman model. We consider the canonical expression of the model where the prior return is determined by means of the excessreturn from the CAPM market portfolio, derived using the reverse optimization method. As such, the prior return is at risk of quantified uncertainty. On the other hand, extensive discussion indicates that experts’ views are under Knightian uncertainty. For thisreason, we propose a variant of the Black-Litterman model in which experts’ views are described as intuitionistic fuzzy numbers. The existence of posterior return is proved for this case and shown to be an intuitionistic fuzzy probabilistics.
|Journal series||Aestimatio-The IEB International Journal of Finance, ISSN 2173-0164, e-ISSN 2173-1926, (0 pkt, indicated Indexes)|
|Publication size in sheets||0.55|
|Keywords in English||Black-Litterman model, Intuitionistic fuzzy number, Quantitative uncertainty, Knightian uncertainty, imprecision|
|Score||= 15.0, 02-04-2020, ArticleFromJournal|
|Publication indicators||= 0|
|Citation count*||3 (2020-07-05)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.