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Fuzzy Views on Black-Litterman Portfolio Selection Model

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Abstract

In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman models are constructed with fuzzy views and fuzzy random views respectively. In the models, expected returns and uncertainty matrix of views are redefined and the views are formulated by fuzzy approaches suitably. Then the models are tested with data from Chinese financial markets. Empirical results show that the fuzzy random views model performs the best, and both the fuzzy models are better than the traditional ones, demonstrating that the fuzzy approaches can contain more information in the views and measure the uncertainty more correctly.

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Authors and Affiliations

  1. Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, 100190, China

    Yong Fang, Lin Bo & Shouyang Wang

  2. School of Finance, Capital University of Economics and Business, Beijing, 100070, China

    Daping Zhao

Authors
  1. Yong Fang
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  2. Lin Bo
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  3. Daping Zhao
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  4. Shouyang Wang
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Corresponding author

Correspondence to Daping Zhao.

Additional information

This research was supported by the National Natural Science Foundation of China under Grant Nos. 71271201 and 71631008.

This paper was recommended for publication by Editor ZHANG Xun.

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Fang, Y., Bo, L., Zhao, D. et al. Fuzzy Views on Black-Litterman Portfolio Selection Model. J Syst Sci Complex 31, 975–987 (2018). https://doi.org/10.1007/s11424-017-6330-2

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  • DOI: https://doi.org/10.1007/s11424-017-6330-2

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