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Please use this identifier to cite or link to this item: http://hdl.handle.net/10651/9661

Title: An extension of Sharpe's single-index model: portfolio selection with expert betas
Author(s): Bilbao Terol, Amelia María
Arenas Parra, María del Mar
Pérez Gladish, Blanca María
Jiménez López, Mariano
Rodríguez Uría, María Victoria
Keywords: Portfolio Selection, Sharpe'S Single-Index Model, Expert Betas, Fuzzy Number, Fuzzy Goal Programming
Issue date: 2006
Publisher: Palgrave Macmillan
Publisher version: http://dx.doi.org/10.1057/palgrave.jors.2602133
Citation: Journal of the Operational Research Society, 57, p. 1442–1451 (2006); doi:10.1057/palgrave.jors.2602133
Format extent: p. 1442-1451
Abstract: This paper presents an approach to the portfolio selection problem based on Sharpe's single-index model and on Fuzzy Sets Theory. In this sense, expert estimations about future Betas of each financial asset have been included in the portfolio selection model denoted as 'Expert Betas' and modelled as trapezoidal fuzzy numbers. Value, ambiguity and fuzziness are three basic concepts involved in the model which provide enough information about fuzzy numbers representing 'Expert Betas' and that are simple to handle. In order to select an optimal portfolio, a Goal Programming model has been proposed including imprecise investor's aspirations concerning asset's proportions of both, high-and low-risk assets. Semantics of these goals are based on the fuzzy membership of a goal satisfaction set. To illustrate the proposed model a real portfolio selection problem is presented.
URI: http://www.palgrave-journals.com/jors/journal/v57/n12/abs/2602133a.html
ISSN: 0160-5682
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