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

Journal of the Operational Research Society

Volumn 57, Issue 12, 2006, Pages 1442-1451

  Bilbao, A ^a   Arenas, M ^a   Jimenez M ^b   Gladish, B Perez ^a,c   Rodriguez M V ^a  

^a UNIVERSITY OF OVIEDO   (Spain)

^b UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

^c Facultad de CC Económicas y Empresariales   (Spain)

Author keywords

Expert betas; Fuzzy goal programming; Fuzzy number; Portfolio selection; Sharpe's single index model

Indexed keywords

EXPERT SYSTEMS; FUZZY SETS; LOGIC PROGRAMMING; MATHEMATICAL MODELS; OPERATIONS RESEARCH;

EXPERT BETAS; FUZZY GOAL PROGRAMMING; FUZZY NUMBER; PORTFOLIO SELECTION; SHARPE'S SINGLE-INDEX MODEL;

PROBLEM SOLVING;

EID: 33751114637     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2602133     Document Type: Article

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