A fuzzy compromise programming approach for the Black-Litterman portfolio selection model

Decision Science Letters

Volumn 2, Issue 1, 2013, Pages 11-22

  Gharakhani, Mohsen ^a   Sadjadi, Seyed Jafar ^a  

^a IRAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Iran)

Author keywords

Black Litterman optimization; COPRAS F; Fuzzy compromise programming; Fuzzy MCDM; Markowitz optimization; MCDM; Portfolio optimization

Indexed keywords

EID: 84901198365     PISSN: 19295804     EISSN: 19295812     Source Type: Journal    
DOI: 10.5267/j.dsl.2012.12.001     Document Type: Article

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