Fuzzy views on Black-Litterman portfolio selection model
type: Item
instance of: scholarly article
title: Fuzzy views on Black-Litterman portfolio selection model
zbMATH Open document ID: 1417.91447
author: Yong Fang
author: Lin Bo
author: Daping Zhao
author: Shouyang Wang
published in: Journal of Systems Science and Complexity
publication date: 2018-11-08T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C70
zbMATH DE Number: 6975300
zbMATH Keywords: Black-Litterman optimization
zbMATH Keywords: fuzzy covariance
zbMATH Keywords: fuzzy number
zbMATH Keywords: portfolio selection
MaRDI profile type: Publication
full work available at URL: s11424-017-6330-2
OpenAlex ID: W2774750511
cites work: 60 years of portfolio optimization: practical challenges and current trends
cites work: Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
cites work: The convergence of set-valued scenario approach for downside risk minimization
cites work: Robust portfolios: contributions from operations research and finance
cites work: Fuzzy sets
cites work: Understanding of fuzzy optimization: theories and methods
cites work: Portfolio rebalancing model with transaction costs based on fuzzy decision theory
cites work: Fuzzy portfolio optimization under downside risk measures
cites work: A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
cites work: Stable distributions in the Black–Litterman approach to asset allocation
cites work: Inverse Optimization: A New Perspective on the Black-Litterman Model
cites work: Risk and asset allocation.
cites work: On possibilistic mean value and variance of fuzzy numbers
cites work: Fuzzy random variables - I. Definitions and theorems
cites work: The variance and covariance of fuzzy random variables and their applications
DOI: 10.1007/S11424-017-6330-2
description: scientific article; zbMATH DE number 6975300