Fuzzy linear constraints in the capital asset pricing model

DOI10.1016/0165-0114(89)90073-0zbMath0664.90008OpenAlexW1989563711MaRDI QIDQ1115786

Ralf Oestermark

Publication date: 1989

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-0114(89)90073-0

zbMATH Keywords

imprecisionportfolio managementcapital asset pricingfuzzy linear policy constraintspolicy constraints augmented problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Linear programming (90C05) Theory of fuzzy sets, etc. (03E72)

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Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets ⋮ Using Fuzzy Set Theory to Analyse Investments and Select Portfolios of Tangible Investments in Uncertain Environments ⋮ Duality in fuzzy linear programming: a survey ⋮ A fuzzy goal programming approach to portfolio selection ⋮ Fuzzy linear programming and applications ⋮ The forecasting performance of Cartesian ARIMA search and a vector‐valued state space model ⋮ Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

Cites Work

• A simple approach to arbitrage pricing theory
• Inequality relation between fuzzy numbers and its use in fuzzy optimization
• A parametric approach to fuzzy linear programming
• Fuzzy programming and linear programming with several objective functions
• SENSITIVITY ANALYSIS OF FUZZY LINEAR PROGRAMS: AN APPROACH TO PARAMETRIC INTERDEPENDENCE
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