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ArticleA fuzzy goal programming approach to portfolio selection

Mar Arenas‐Parra2001

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A fuzzy goal programming approach to portfolio selection

Mar Arenas‐Parra · Amelia Bilbao‐Terol · M.V. Rodrı́guez Urı́a

307 citations·0/0 files stored·European Journal of Operational Research

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Optimization and Mathematical Programming Multi-Criteria Decision Making Risk and Portfolio Optimization

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*1981Multiple Attribute Decision Making: Methods and Applications 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1980Fuzzy Sets and Systems - Theory and Applications 1959Portfolio Selection: Efficient Diversification of Investments

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Year2001

Typearticle

Published2001-01-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations307

Files0 public / 0

ShelfOptimization and Mathematical Programming

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doi10.1016/s0377-2217(00)00298-8

openalex_workW1995681262

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2009Mean-variance-skewness model for portfolio selection with fuzzy returns