A fuzzy programming approach to financial portfolio model

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

Research output: Chapter in Book/Report/Conference proceedingChapter

2 Scopus citations

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

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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