A fuzzy programming approach to financial portfolio model

Kenneth D. Lawrence, Dinesh Ramdas Pai, Ronald K. Klimberg, Sheila M. Lawrence

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Citations (Scopus)

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.

Original languageEnglish (US)
Title of host publicationApplications of Management Science
EditorsKenneth Lawrence, Gary Kleinman
Pages53-59
Number of pages7
EditionFINANCIAL MODELIN
DOIs
StatePublished - Dec 1 2009

Publication series

NameApplications of Management Science
NumberFINANCIAL MODELIN
Volume13
ISSN (Print)0276-8976

Fingerprint

Portfolio model
Fuzzy programming
Investors
Industry
Asset pricing
Asset returns
Fuzzy goal programming
Membership function

All Science Journal Classification (ASJC) codes

  • Business, Management and Accounting(all)

Cite this

Lawrence, K. D., Pai, D. R., Klimberg, R. K., & Lawrence, S. M. (2009). A fuzzy programming approach to financial portfolio model. In K. Lawrence, & G. Kleinman (Eds.), Applications of Management Science (FINANCIAL MODELIN ed., pp. 53-59). (Applications of Management Science; Vol. 13, No. FINANCIAL MODELIN). https://doi.org/10.1108/S0276-8976(2009)0000013005
Lawrence, Kenneth D. ; Pai, Dinesh Ramdas ; Klimberg, Ronald K. ; Lawrence, Sheila M. / A fuzzy programming approach to financial portfolio model. Applications of Management Science. editor / Kenneth Lawrence ; Gary Kleinman. FINANCIAL MODELIN. ed. 2009. pp. 53-59 (Applications of Management Science; FINANCIAL MODELIN).
@inbook{3f20af4e538646969943e574bada07d6,
title = "A fuzzy programming approach to financial portfolio model",
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.",
author = "Lawrence, {Kenneth D.} and Pai, {Dinesh Ramdas} and Klimberg, {Ronald K.} and Lawrence, {Sheila M.}",
year = "2009",
month = "12",
day = "1",
doi = "10.1108/S0276-8976(2009)0000013005",
language = "English (US)",
isbn = "9781848558786",
series = "Applications of Management Science",
number = "FINANCIAL MODELIN",
pages = "53--59",
editor = "Kenneth Lawrence and Gary Kleinman",
booktitle = "Applications of Management Science",
edition = "FINANCIAL MODELIN",

}

Lawrence, KD, Pai, DR, Klimberg, RK & Lawrence, SM 2009, A fuzzy programming approach to financial portfolio model. in K Lawrence & G Kleinman (eds), Applications of Management Science. FINANCIAL MODELIN edn, Applications of Management Science, no. FINANCIAL MODELIN, vol. 13, pp. 53-59. https://doi.org/10.1108/S0276-8976(2009)0000013005

A fuzzy programming approach to financial portfolio model. / Lawrence, Kenneth D.; Pai, Dinesh Ramdas; Klimberg, Ronald K.; Lawrence, Sheila M.

Applications of Management Science. ed. / Kenneth Lawrence; Gary Kleinman. FINANCIAL MODELIN. ed. 2009. p. 53-59 (Applications of Management Science; Vol. 13, No. FINANCIAL MODELIN).

Research output: Chapter in Book/Report/Conference proceedingChapter

TY - CHAP

T1 - A fuzzy programming approach to financial portfolio model

AU - Lawrence, Kenneth D.

AU - Pai, Dinesh Ramdas

AU - Klimberg, Ronald K.

AU - Lawrence, Sheila M.

PY - 2009/12/1

Y1 - 2009/12/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84886697557&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84886697557&partnerID=8YFLogxK

U2 - 10.1108/S0276-8976(2009)0000013005

DO - 10.1108/S0276-8976(2009)0000013005

M3 - Chapter

SN - 9781848558786

T3 - Applications of Management Science

SP - 53

EP - 59

BT - Applications of Management Science

A2 - Lawrence, Kenneth

A2 - Kleinman, Gary

ER -

Lawrence KD, Pai DR, Klimberg RK, Lawrence SM. A fuzzy programming approach to financial portfolio model. In Lawrence K, Kleinman G, editors, Applications of Management Science. FINANCIAL MODELIN ed. 2009. p. 53-59. (Applications of Management Science; FINANCIAL MODELIN). https://doi.org/10.1108/S0276-8976(2009)0000013005