A fuzzy programming approach to financial portfolio model

The Black and Litterman model (1992) for estimating asset returns is widely used in industry and has been widely studied in the academic and professional literature. Black and Litterman offer a way to incorporate investor's views into asset-pricing. This chapter provides a description of the Black and Litterman model. The model is analyzed using fuzzy goal programming approach using appropriate membership functions. We consider a real world financial example to implement our approach.

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Year of publication:	2009
Authors:	Lawrence, Kenneth D. ; Pai, Dinesh R. ; Klimberg, Ronald K. ; Lawrence, Sheila M.
Published in:	Financial modeling applications and data envelopment applications. - Bingley : Emerald, ISBN 978-1-84855-878-6. - 2009, p. 53-59
Subject:	Portfolio-Management \| Portfolio selection \| Fuzzy-Set-Theorie \| Fuzzy sets \| Mathematische Optimierung \| Mathematical programming

Type of publication:	Article
Language:	English
Other identifiers:	10.1108/S0276-8976(2009)0000013005 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015382683