Fuzzy linear constraints in the capital asset pricing model
From MaRDI portal
Publication:1115786
DOI10.1016/0165-0114(89)90073-0zbMath0664.90008MaRDI QIDQ1115786
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
imprecision; portfolio management; capital asset pricing; fuzzy linear policy constraints; policy constraints augmented problem
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, 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