A fuzzy programming approach to financial portfolio model

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Applications of Management Science

ISSN: 0276-8976
Series editor(s): Professor Kenneth D. Lawrence

Subject Area: Management Science/Management Studies

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Document Information:
Title:	A fuzzy programming approach to financial portfolio model
Author(s):	Kenneth D. Lawrence, Dinesh R. Pai, Ronald K. Klimberg, Sheila M. Lawrence
Volume:	13 Editor(s): Kenneth D. Lawrence, Gary Kleinman ISBN: 978-1-84855-878-6 eISBN: 978-1-84855-879-3
Citation:	Kenneth D. Lawrence, Dinesh R. Pai, Ronald K. Klimberg, Sheila M. Lawrence (2009), A fuzzy programming approach to financial portfolio model, in Kenneth D. Lawrence, Gary Kleinman (ed.) Financial Modeling Applications and Data Envelopment Applications (Applications of Management Science, Volume 13), Emerald Group Publishing Limited, pp.53-59
DOI:	10.1108/S0276-8976(2009)0000013005 (Permanent URL)
Publisher:	Emerald Group Publishing Limited
Article type:	Chapter Item
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.