Mean-risk model for uncertain portfolio selection with background risk
From MaRDI portal
Publication:1675937
DOI10.1016/j.cam.2017.07.038zbMath1415.91273OpenAlexW2748316329MaRDI QIDQ1675937
Publication date: 3 November 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2017.07.038
Related Items (11)
Uncertain random mean–variance–skewness models for the portfolio optimization problem ⋮ STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET ⋮ Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ Uncertain portfolio optimization problem under a minimax risk measure ⋮ Portfolio management with background risk under uncertain mean-variance utility ⋮ Multi-period mean-semivariance portfolio optimization based on uncertain measure ⋮ A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems ⋮ An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences ⋮ A new uncertain random portfolio optimization model for complex systems with downside risks and diversification
Cites Work
- Unnamed Item
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- VaR optimal portfolio with transaction costs
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- Uncertain portfolio selection with background risk
- Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
- Mean-semivariance models for fuzzy portfolio selection
- A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
- Risk measurement in the presence of background risk
- Portfolio selection based on fuzzy cross-entropy
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- A risk index model for portfolio selection with returns subject to experts' estimations
- Optimal multinational capital budgeting under uncertainty
- Portfolio selection with a new definition of risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Mean-risk model for uncertain portfolio selection
- Risk Vulnerability and the Tempering Effect of Background Risk
- Fuzzy sets
- Uncertainty theory
- On possibilistic mean value and variance of fuzzy numbers
This page was built for publication: Mean-risk model for uncertain portfolio selection with background risk
