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A fuzzy goal programming approach to portfolio selection

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  • Arenas Parra, M.
  • Bilbao Terol, A.
  • Rodriguez Uria, M. V.

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  • Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    • Handle: RePEc:eee:ejores:v:133:y:2001:i:2:p:287-297
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 1999. "Solving the multiobjective possibilistic linear programming problem," European Journal of Operational Research, Elsevier, vol. 117(1), pages 175-182, August.
    4. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    5. Markowitz, Harry M & Perold, Andre F, 1981. "Portfolio Analysis with Factors and Scenarios," Journal of Finance, American Finance Association, vol. 36(4), pages 871-877, September.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    8. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    9. Lee, Sang M & Lerro, A J, 1973. "Optimizing the Portfolio Selection for Mutual Funds," Journal of Finance, American Finance Association, vol. 28(5), pages 1087-1102, December.
    10. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problem†," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
    11. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    12. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
    13. Pogue, G A, 1970. "An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes," Journal of Finance, American Finance Association, vol. 25(5), pages 1005-1027, December.
    14. Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
    15. William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
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