A fuzzy compromise programming approach for the Black-Litterman portfolio selection model
نویسندگان
چکیده
منابع مشابه
A fuzzy compromise programming approach for the Black-Litterman portfolio selection model
Article history: Received October 2, 2012 Accepted December 3, 2012 Available online December 3 2012 In this paper, we examine advanced optimization approach for portfolio problem introduced by Black and Litterman to consider the shortcomings of Markowitz standard Mean-Variance optimization. Black and Litterman propose a new approach to estimate asset return. They present a way to incorporate t...
متن کاملA Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملExtension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...
متن کاملthe use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach
abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...
15 صفحه اولA fuzzy random multi-objective approach for portfolio selection
In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Decision Science Letters
سال: 2013
ISSN: 1929-5804,1929-5812
DOI: 10.5267/j.dsl.2012.12.001