Fuzzy views on Black-Litterman portfolio selection model

DOI10.1007/s11424-017-6330-2zbMath1417.91447OpenAlexW2774750511MaRDI QIDQ1621186

Lin Bo, Daping Zhao, Yong Fang, Shou-Yang Wang

Publication date: 8 November 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6330-2

zbMATH Keywords

fuzzy numberportfolio selectionBlack-Litterman optimizationfuzzy covariance

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

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