Black-Litterman Model with Intuitionistic Fuzzy Posterior Return

Krzysztof Echaust , Krzysztof Piasecki

Abstract

The main objective is to present a some variant of the Black-Litterman model. We consider the canonical case when priori return is determined by means such excess return from the CAPM market portfolio which is derived using reverse optimization method. Then the a priori return is at risk quantified uncertainty. On the side, intensive discussion shows that the experts' views are under knightian uncertainty. For this reason, we propose such variant of the Black-Litterman model in which the experts' views are described as intuitionistic fuzzy number. The existence of posterior return is proved for this case. We show that then posterior return is an intuitionistic fuzzy probabilistic set.
Author Krzysztof Echaust (WIiGE / KBO)
Krzysztof Echaust,,
- Department of Operations Research
, Krzysztof Piasecki (WZ / KIiN)
Krzysztof Piasecki,,
- Department of Investment and Real Estate
Journal seriesSSRN Electronic Journal, ISSN 1556-5068, (0 pkt)
Issue year2016
NoJanuary
Pages1-9
Publication size in sheets0.5
Keywords in EnglishBlack-Litterman model, intuitionistic fuzzy number, quantitaive uncertainty, knightian uncertainty, imprecision
DOIDOI:10.2139/ssrn.2010280
URL http://ssrn.com/abstract=2710280
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 19-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 19-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 0
Citation count*2 (2020-09-25)
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