Black-Litterman With Fuzzy Techniques: Case Index Coleqty Black-Litterman con técnicas difusas: caso índice Coleqty

Abstract

The portfolio process of optimization search for the best portfolio through the risk measures and return, Markowitz model has worked on that se-lection under median-variance portfolio, that model has been criticized be-cause it is based on historic information, leaving some aspects unaccounted for, such as the state of the market, lower diversification, among others; in order to improve this model, Fischer Black and Robert Litterman provided information about financial assets assignment based on the assumption of the equilibrium and the investor opinion concerning the future investment asset . Because of the uncertainty in the optimization process, it is proposed to make the use of fuzzy techniques for its treatment. This article is the result of the Master Degree in Finances, "Aplication of fuzzy techniques to the selection’s model of the Black- Litterman portfo-lio: Colombian Case Coleqty index" that evaluate the optimization process of contributions of portfolio in Black- Litterman Model, based on diffuse techniques in stocks of Coleqty index of Colombia, resulting risk-return base on triangular and trapezoidal functions, obtaining some different port-folios concerning with diversification, it will be compared with Sharpe, Treynor and Jensen’s Alpha performance indicators, portfolio with best re-turn and less risk will be important, in order to choose the best optimization process, Black- Litterman classic or Black Litterman fuzzy techniques.