Portfolio Selection Subject to Experts' Judgments
International Review of Financial Analysis, 17(5), 1036- 1054, December 2008
Gady Jacoby, Ph.D. Department of Finance
Smimou Kamal and C. R. Bector
The main objective contributions of the paper are (i) to explore the implications of fuzzy return indeterminacy on mean-variance optimal portfolio choice, (ii) to use bid-ask spread as a proxy measure of the indeterminacy or "fuzzy" nature of random returns and (iii) to introduce a brief, self-contained glimpse of empirical representations to practitioners unfamiliar with the fuzzy modeling field.