Fuzzy linear constraints in the capital asset pricing model

DOI10.1016/0165-0114(89)90073-0MaRDI QIDQ1115786zbMATH OpenOpenAlexFDO

Authors Ralf Östermark

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

capital asset pricingfuzzy linear policy constraintsimprecisionpolicy constraints augmented problemportfolio management

Mathematics Subject Classification ID

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

Review text

The topic of portfolio management is tackled by a fuzzy mathematical programming approach. It is demonstrated that managerial imprecision may be explicitly incorporated in the policy constraints augmented coefficient matrix of the quadratic portfolio problem. By organizing the first-order conditions the quadratic problem is linearized and solvable by matrix inversion. Through fuzzification, the policy constraints augmented problem is solvable by parametric methods of fuzzy linear programming. The augmented portfolio program is directly amenable to the position vector method developed by the author.

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Cited in

(10)

• Fuzzy linear programming and applications
• A fuzzy multifactor asset pricing model
• Duality in fuzzy linear programming: a survey
• Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
• The forecasting performance of Cartesian ARIMA search and a vector‐valued state space model
• scientific article; zbMATH DE number 7028270 (Why is no real title available?)
• Using Fuzzy Set Theory to Analyse Investments and Select Portfolios of Tangible Investments in Uncertain Environments
• A fuzzy goal programming approach to portfolio selection
• A fuzzy control model (FCM) for dynamic portfolio management
• Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

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