A fuzzy programming approach to financial portfolio model

Authors

Kenneth D. Lawrence, New Jersey Institute of Technology
Dinesh R. Pai, Rutgers University-Newark
Ronald K. Klimberg, Saint Joseph's University, United States
Sheila M. Lawrence, Rutgers University-Newark

Document Type

Article

Publication Date

12-1-2009

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. Copyright © 2009 by Emerald Group Publishing Limited.

Identifier

84886697557 (Scopus)

ISBN

[9781848558786]

Publication Title

Applications of Management Science

External Full Text Location

https://doi.org/10.1108/S0276-8976(2009)0000013005

ISSN

02768976

First Page

53

Last Page

59

Issue

FINANCIAL MODELIN

Volume

13

Recommended Citation

Lawrence, Kenneth D.; Pai, Dinesh R.; Klimberg, Ronald K.; and Lawrence, Sheila M., "A fuzzy programming approach to financial portfolio model" (2009). Faculty Publications. 11780.
https://digitalcommons.njit.edu/fac_pubs/11780