Black-Litterman Model with Multiple Experts’ Linguistic Views

DOI10.1007/978-3-319-42972-4_5zbMath1422.62013OpenAlexW2492160155MaRDI QIDQ5348613

Marcin Bartkowiak, Aleksandra Rutkowska

Publication date: 18 August 2017

Published in: Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-42972-4_5

zbMATH Keywords

random variablesmarketcapital asset pricing modelportfolio selection modelfuzzy extensionsBlack-Litterman modelmodel extension

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of fuzziness, sufficiency, and information (62B86)

Cites Work

• Overview on the development of fuzzy random variables
• Optimization models using fuzzy sets and possibility theory
• Fuzzy random variables - I. Definitions and theorems
• The concept of a linguistic variable and its application to approximate reasoning. I
• Fuzzy random variables
• The variance and covariance of fuzzy random variables and their applications
• A unified approach to fuzzy random variables

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