A fuzzy programming approach to financial portfolio model

Applications of Management Science

Volumn 13, Issue FINANCIAL MODELIN, 2009, Pages 53-59

  Lawrence, Kenneth D ^a   Pai, Dinesh R ^b   Klimberg, Ronald K ^c   Lawrence, Sheila M ^b  

^a NEW JERSEY INSTITUTE OF TECHNOLOGY   (United States)

^b RUTGERS UNIVERSITY   (United States)

^c SAINT JOSEPH S UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84886697557     PISSN: 02768976     EISSN: None     Source Type: Book Series    
DOI: 10.1108/S0276-8976(2009)0000013005     Document Type: Article

References (7)

1. Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 45(5), 28-43.
2. Karacabey, A. (2006). Is mean variance efficient than MAD in Istanbul? International Research Journal of Finance and Economics. 3, 114-120.
3. Lee, W. (2000). Advanced theory and methodology of tactical asset allocation. New York: Wiley.
4. Michaud, R. (1989). The Markowitz optimization enigma: 'Is optimized' optimal? Financial Analysts Journal, 45(1), 31-42.
5. Sharpe, W. (1971). A linear programming approximation for the general portfolio analysis problem. Journal of Financial and Quantitative Analysis, 263-1275.
6. Stone, B. (1973). A linear programming formulation of the general portfolio selection problem. Journal of Financial and Quantitative Analysis, 5, 621-636.
7. Zimmermann, H. J. (1991). Fuzzy set theory and its applications. Boston, MA: Kluwer Academic Publishers.