Fuzzy linear constraints in the capital asset pricing model

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