On constructing expert Betas for single-index model

DOI10.1016/j.ejor.2006.10.007zbMath1205.91149OpenAlexW2013532833MaRDI QIDQ2371378

Amelia Bilbao, J. Antomil, M. Victoria Rodrıguez, Mar Arenas

Publication date: 4 July 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.10.007

zbMATH Keywords

fuzzy numberambiguityportfolio selectionvaluefuzzy decisionfuzzy goal programmingfuzzinessSharpe's single-index model

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (6)

Operational risk: emerging markets, sectors and measurement ⋮ Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model ⋮ Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review ⋮ Corporate investment appraisal with possibilistic CAPM ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment ⋮ Financial portfolio management through the goal programming model: current state-of-the-art

Uses Software

• ADELAIS

Cites Work

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