A fuzzy compromise programming approach for the Black-Litterman portfolio selection model
In this paper, we examine advanced optimization approach for portfolio problem introduced by Black and Litterman to consider the shortcomings of Markowitz standard Mean-Variance optimization. Black and Litterman propose a new approach to estimate asset return. They present a way to incorporate the i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2013-01-01
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| Series: | Decision Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/dsl/Vol2/dsl_2013_6.pdf |