Fuzzy linear constraints in the capital asset pricing model

作者: Ralf Östermark

DOI: 10.1016/0165-0114(89)90073-0

关键词: Capital asset pricing modelFuzzy logicCoefficient matrixMathematical optimizationProject portfolio managementQuadratic equationMathematicsPortfolioActuarial scienceFuzzy control systemFuzzy set

摘要: Abstract In this paper the topic of portfolio management is tackled by a fuzzy mathematical programming approach. It demonstrated that managerial imprecision may be explicitly incorporated in policy constraints augmented coefficient matrix quadratic problem. By organizing first-order conditions problem linearized and solvable inversion. Through fuzzification, parametric methods linear programming. The program directly amenable to position vector method develop author.

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