Fuzzy Views on Black-Litterman portfolio selection

来源 :中国系统工程学会服务系统工程分会2016服务系统工程会议暨2016 风险分析学术研讨会 | 被引量 : 0次 | 上传用户：yangbintian

【摘要】

：

　　This paper describe the views of investor in fuzzy sets and proposed two fuzzy Black-Litterman model with fuzzy views and fuzzy random views respectively.We

【作者】

：

Lin Bo Daping Zhao Yong Fang Shouyang Wang

【机构】

：

SchoolofManagement,HefeiUniversityofTechnology,China

【出处】

：

中国系统工程学会服务系统工程分会2016服务系统工程会议暨2016 风险分析学术研讨会

【发表日期】

：

2016年7期

【关键词】

：

Fuzzy Black-Litterman

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　　This paper describe the views of investor in fuzzy sets and proposed two fuzzy Black-Litterman model with fuzzy views and fuzzy random views respectively.We redefine the expected returns and uncertainty matrix of views and show that the fuzzy approaches can formulated the views suitably.

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Fuzzy Views on Black-Litterman portfolio selection

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