On constructing expert Betas for single-index model
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Publication:2371378
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
fuzzy numberambiguityportfolio selectionvaluefuzzy decisionfuzzy goal programmingfuzzinessSharpe's single-index model
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
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