Black-litterman model with intuitionistic fuzzy posterior return

• Autores: Krzysztof Echaust, Krzysztof Piasecki
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 15, 2017, págs. 8-19
• Idioma: inglés
• Títulos paralelos:
  • El modelo black-litterman con retorno posterior intuicionista difuso
• Enlaces
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• Resumen
  • español

    El principal objetivo de este artículo es presentar una cierta variante del modelo Black-Litterman. Se considera el caso canónico cuando el retorno a priori se determina por medio del diferencial de rentabilidad de la cartera de mercado CAPM que se obtiene utilizando el método de optimización revertida. Por tanto, el rendimiento a priori está bajo incertidumbre quantificable. Al mismo tiempo, un intenso debate muestra que las opiniones de los expertos están bajo incertidumbre knightiana. Por esta razón se propone esta variante del modelo Black-Litterman, en la cual las opiniones de los expertos se describen como un número intuicionita difuso. Se prueba la existencia, en este caso, de un retorno posterior y se muestra que es un conjunto probabilístico intuicionista difuso

  • English

    The main objective of this paper is to present a variant of the Black-Litterman model. We consider the canonical expression of the model where the prior return is determined by means of the excessreturn from the CAPM market portfolio, derived using the reverse optimization method. As such, the prior return is at risk of quantified uncertainty. On the other hand, extensive discussion indicates that experts’ views are under Knightian uncertainty. For thisreason, we propose a variant of the Black-Litterman model in which experts’ views are described as intuitionistic fuzzy numbers. The existence of posterior return is proved for this case and shown to be an intuitionistic fuzzy probabilistic set

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