An extension of Sharpe's single-index model: portfolio selection with expert betas

DOI10.1057/palgrave.jors.2602133zbMath1123.90083DBLPjournals/jors/Bilbao-TerolAJP06OpenAlexW2045542627WikidataQ57608436 ScholiaQ57608436MaRDI QIDQ3433500

No author found.

Publication date: 30 April 2007

Published in: Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1057/palgrave.jors.2602133

zbMATH Keywords

fuzzy numberportfolio selectionfuzzy goal programmingSharpe's single-index modelexpert betas

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Related Items (8)

A fuzzy multifactor asset pricing model ⋮ Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model ⋮ Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips ⋮ Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review ⋮ Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach ⋮ Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case ⋮ Financial portfolio management through the goal programming model: current state-of-the-art ⋮ A multiple objective stochastic portfolio selection problem with random Beta

This page was built for publication: An extension of Sharpe's single-index model: portfolio selection with expert betas