Black-Litterman model with intuitionistic fuzzy posterior return

Krzysztof Echaust and Krzysztof Piasecki

Papers from arXiv.org

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.

Date: 2016-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1601.00354 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.00354

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().