An extension of Sharpe's single-index model: portfolio selection with expert betas
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Publication:3433500
DOI10.1057/palgrave.jors.2602133zbMath1123.90083WikidataQ57608436 ScholiaQ57608436MaRDI QIDQ3433500
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Publication date: 30 April 2007
Published in: Journal of the Operational Research Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1057/palgrave.jors.2602133
fuzzy number; portfolio selection; fuzzy goal programming; Sharpe's single-index model; expert betas
90C70: Fuzzy and other nonstochastic uncertainty mathematical programming
91B82: Statistical methods; economic indices and measures
91G10: Portfolio theory
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