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D.T. Grieger
US Equity Analysis of Management Effect Description
Elaine Worzala, Kerry Vandell (1995)
International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An evaluation
M. Delgado, J.L. Verdegay, M.A. Vila
A general model for fuzzy linear programming
Inform Software Corp. and Intel Corp.
“fuzzyTECH 5.12e” Software Program
G. Klir, T. Folger (1988)
Fuzzy sets, uncertainty and information
M. Kritzman (1990)
Asset Allocation for Institutional Portfolios
P. Chenh, A.J. Ziobrowski, R.W. Caines, B.J. Ziobrowski
Uncertainty and foreign real estate investing
S. Chana
Fuzzy programming in multiobjective linear programming – a parametric approach
G.P. Brinson, L.R. Hood, G.L. Beebower
Determinants of portfolio performance
K. Lawrence (1987)
Advances in Mathematical Programming and Financial Planning
L. Zadeh (1996)
Fuzzy sets
W. Kickert (1979)
Fuzzy Theories on Decision Making: A Critical Review
Y. Benari
Optimal asset mix and its link to changing fundamental factors
E.M. Ankrim, C.R. Hensel
Commodities in asset allocation: a real‐asset alternative to real estate?
W.N. Goetzmann, R.G. Ibbotson
Do winners repeat? Patterns in mutual fund behavior
V.K. Chopra, W.T. Ziemba
The effect of errors in means, variances and covariances on optimal portfolio choice
D. Dubois, H. Prade
Fuzzy Sets and Systems: Theory and Applications
R.E. Bellman, L.A. Zadeh
Decision‐making in a fuzzy environment
Purpose – Although the modern portfolio theory (MPT) asset allocation framework can be adopted to enable decision making for international and direct real estate investing, and that many institutional investors adopt it to support their decision making, this framework can be enhanced to capture the multi‐causal factors influencing international and direct real estate investing. The purpose of this paper is to explain how a fuzzy decision‐making approach is a more intuitive, yet rigorous alternative in this regard. Design/methodology/approach – This paper is concerned with the model formation and estimation of a unique fuzzy tactical asset allocation (FTAA), which in turn comprises the FTAA flexible programming model and the FTAA robust programming model. Findings – Both these FTAA models enhance the classical, Markowitz MPT portfolio theory on asset allocation through making it more intuitively appropriate for decision making in international and direct real estate investing. Practical implications – These two FTAA models achieve the benefits of intuitively greater risk diversification by city or real estate sector and enable effective risk management. These two short‐run fuzzy models would be accepted and more such models would emerge as an effective extension of quadratic programming optimization, as more computable software programs of this kind are widespread. Originality/value – Fuzzy approaches to asset allocation in the short run, are limited by some drawbacks. Fuzzy models possess the common feature of converting the equality function under quadratic programming optimization into inequality functions. Such inequality optimization replaces the point solution of the MPT TAA optimization problem, obtained through the rigid intersection of all functions, via a generalized or intuitive answer over a defined space of alternatives. The product of the fuzzy process with fuzzy inputs, in the form of fuzzy outcome is in actual fact a more natural and intuitive approach to asset optimization.
Journal of Financial Management of Property and Construction – Emerald Publishing
Published: Apr 20, 2010
Keywords: Portfolio theory; Assets management; Real estate; International investments; Direct investment; Fuzzy control
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