Black-Litterman model with intuitionistic fuzzy posterior return
|Krzysztof M. Piasecki , Krzysztof Echaust|
Uniwersytet Ekonomiczny w Poznaniu (UEP), Al. Niepodległości 10, Poznań 61-875, Poland
The main objective is to present a variant of the Black - Litterman model. We consider the canonical case when a priori return is determined by means of such excess return from the CAPM market portfolio which is derived using reverse optimization method. Then the a priori return is at risk of quantified uncertainty. On the other side, intensive discussion shows that the experts‘ views are burdened with knightian uncertainty. For this reason, we propose a variant of the Black - Litterman model in which the experts‘ views are described as intuitionistic fuzzy number. The existence of a posterior return is proved for this case.We show that then posterior return is an intuitionistic fuzzy probabilistic set.
Presentation: Oral at Current Economic and Social Topics 2015, by Krzysztof M. Piasecki
See On-line Journal of Current Economic and Social Topics 2015
Submitted: 2015-09-30 21:52 Revised: 2015-09-30 21:52