英文标题：
《Black-Litterman model with intuitionistic fuzzy posterior return》
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作者：
Krzysztof Echaust, Krzysztof Piasecki
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最新提交年份：
2016
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英文摘要：
The main objective is to present a some variant of the Black - Litterman model. We consider the canonical case when priori return is determined by means such excess return from the CAPM market portfolio which is derived using reverse optimization method. Then the a priori return is at risk quantified uncertainty. On the side, intensive discussion shows that the experts\' views are under knightian uncertainty. For this reason, we propose such variant of the Black - Litterman model in which the experts\' views are described as intuitionistic fuzzy number. The existence of posterior return is proved for this case.We show that then posterior return is an intuitionistic fuzzy probabilistic set.
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中文摘要：
本文的主要目的是提出一种黑人同窝人模型的变体。我们考虑了当先验收益由CAPM市场投资组合的超额收益决定时的典型情况，该超额收益由反向优化方法得出。那么，先验收益就处于风险量化的不确定性之中。另一方面，密集的讨论表明，专家们的观点处于奈特式的不确定性之下。基于这个原因，我们提出了黑-利特曼模型的这种变体，其中专家的观点被描述为直觉模糊数。对于这种情况，证明了后验回归的存在。我们证明了后验收益率是一个直觉模糊概率集。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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