A fuzzy programming approach to financial portfolio model
Financial Modeling Applications and Data Envelopment Applications
ISBN: 978-1-84855-878-6, eISBN: 978-1-84855-879-3
Publication date: 13 October 2009
Abstract
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.
Citation
Lawrence, K.D., Pai, D.R., Klimberg, R.K. and Lawrence, S.M. (2009), "A fuzzy programming approach to financial portfolio model", Lawrence, K.D. and Kleinman, G. (Ed.) Financial Modeling Applications and Data Envelopment Applications (Applications of Management Science, Vol. 13), Emerald Group Publishing Limited, Leeds, pp. 53-59. https://doi.org/10.1108/S0276-8976(2009)0000013005
Publisher
:Emerald Group Publishing Limited
Copyright © 2009, Emerald Group Publishing Limited