Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model

Applied Mathematics and Computation

Volumn 182, Issue 1, 2006, Pages 644-664

  Bilbao Terol, A ^a   Perez Gladish B ^a   Antomil lbias, J ^a  

^a UNIVERSITY OF OVIEDO   (Spain)

Author keywords

Fuzzy compromise programming; Fuzzy numbers; Portfolio selection; Sharpe's single index model; Value, fuzziness and ambiguity

Indexed keywords

MATHEMATICAL MODELS; MATHEMATICAL PROGRAMMING; NUMERICAL METHODS; OPTIMIZATION; PARAMETER ESTIMATION; PROBLEM SOLVING;

FUZZY COMPROMISE PROGRAMMING; FUZZY NUMBERS; PORTFOLIO SELECTION; SHARPE'S SINGLE INDEX MODELS;

FUZZY SETS;

EID: 33750825109     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2006.04.028     Document Type: Article

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