Fuzzy Views on Black-Litterman Portfolio Selection Model
文献类型：期刊论文
| 作者 | Fang, Yong1 ; Bo, Lin1; Zhao, Daping2; Wang, Shouyang1
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2018-08-01 |
| 卷号 | 31期号:4页码:975-987 |
| 关键词 | Black-Litterman optimization fuzzy covariance fuzzy number portfolio selection |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-017-6330-2 |
| 英文摘要 | 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. |
| 资助项目 | National Natural Science Foundation of China[71271201] ; National Natural Science Foundation of China[71631008] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000430532000008 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29961]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhao, Daping |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China |
| 推荐引用方式 GB/T 7714 | Fang, Yong,Bo, Lin,Zhao, Daping,et al. Fuzzy Views on Black-Litterman Portfolio Selection Model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(4):975-987. |
| APA | Fang, Yong,Bo, Lin,Zhao, Daping,&Wang, Shouyang.(2018).Fuzzy Views on Black-Litterman Portfolio Selection Model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(4),975-987. |
| MLA | Fang, Yong,et al."Fuzzy Views on Black-Litterman Portfolio Selection Model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.4(2018):975-987. |
入库方式： OAI收割
来源：数学与系统科学研究院
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