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ArticleMulti-objective imprecise programming for financial portfolio selection with fuzzy returns

Mohamed Sadok Cherif2019

Article2019

Multi-objective imprecise programming for financial portfolio selection with fuzzy returns

Mohamed Sadok Cherif · Walid Abdelfattah

79 citations·0/0 files stored·Expert Systems with Applications

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Risk and Portfolio Optimization Optimization and Mathematical Programming Fuzzy Systems and Optimization

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*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.]2007Decision Making in a Fuzzy Environment 1963A Simplified Model for Portfolio Analysis 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

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Year2019

Typearticle

Published2019-07-12

VenueExpert Systems with Applications

ISSN-L0957-4174

Languageen

Citations79

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.eswa.2019.07.027

openalex_workW2961570542

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