A1811
Title: Linguistic views in portfolio selection: Black-Litterman model extension
Authors: Aleksandra Rutkowska - Poznan University of Economics and Business (Poland) [presenting]
Marcin Bartkowiak - Poznan University of Economics and Business (Poland)
Abstract: The Black-Litterman model provides a framework in which two sources of information about the expected returns can be combined. The first source of information is the expected returns that follow from the Capital Asset Pricing Model and the second source of information are the views held by the investors. Since the investors views about future asset return are always subjective, imprecise and often express in natural language, we propose extension includes two elements important from the point of view of application: linguistic information and the multiple experts views. This is possible owing to use ill-known random variables. We introduce the model extension step-by-step and present empirical example.
