Fuzzy linear constraints in the capital asset pricing model

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

imprecision; portfolio management; capital asset pricing; fuzzy linear policy constraints; policy constraints augmented problem

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C20: Quadratic programming

90C05: Linear programming

03E72: Theory of fuzzy sets, etc.

Related Items

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

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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item