Portfolio management with background risk under uncertain mean-variance utility

DOI10.1007/s10700-020-09345-6zbMath1479.91358OpenAlexW3091713127MaRDI QIDQ2052934

Guowei Jiang, Xiaoxia Huang

Publication date: 29 November 2021

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-020-09345-6

zbMATH Keywords

portfolio selectionbackground riskuncertain programminguncertain variablemean-variance utility

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

A new uncertain dominance and its properties in the framework of uncertainty theory

Cites Work

• A formula to calculate the variance of uncertain variable
• Uncertain portfolio selection with background risk
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• UNCERTAIN DECISION MAKING AND ITS APPLICATION TO PORTFOLIO SELECTION PROBLEM
• The Ordering of Portfolios in Terms of Mean and Variance
• A review of uncertain portfolio selection
• Uncertainty theory

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