Abstract

FRANCO GOMEZ, Yuly Andrea; MORENO TRUJILLO, John Freddy  and  ZAPATA QUIMBAYO, Carlos Andres. Optimal Portfolio Selection Using the Black-Litterman Model With Fuzzy Views. Lect. Econ. [online]. 2022, n.97, pp.369-393.  Epub Oct 18, 2022. ISSN 0120-2596.  https://doi.org/10.17533/udea.le.n97a346171.

In this article, a robust approach to the optimal selection portfolio is implemented by incorporating the advances of the Black-Litterman (BL) model and fuzzy logic. To do that, the expected returns, the investor’s opinions (views) and the uncertainty matrix of the BL model are redefined using fuzzy logic and an optimization exercise is implemented for a portfolio of shares in the Colombian stock market. The results show an appropriate performance (out-sample) from the portfolio, in comparison with the traditional BL model and the mean-variance (MV) model, which shows that the fuzzy logic approach allows incorporating additional information to define the views and measure the uncertainty.

Keywords : optimal portfolio; Black-Litterman model; fuzzy logic.

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