An extension of Sharpe's single-index model: portfolio selection with expert betas

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

zbMATH Keywords

fuzzy number; portfolio selection; fuzzy goal programming; Sharpe's single-index model; expert betas

Mathematics Subject Classification ID

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91B82: Statistical methods; economic indices and measures

91G10: Portfolio theory

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