Uncertain portfolio selection with background risk

DOI10.1016/j.amc.2015.12.018zbMath1410.91417OpenAlexW2231151710MaRDI QIDQ671017

Xiaoxia Huang, Hao Di

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.12.018

zbMATH Keywords

portfolio selectionbackground riskuncertain programminguncertain variable

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (15)

Uncertain portfolio selection with mental accounts and realistic constraints ⋮ Bayesian portfolio selection using VaR and CVaR ⋮ A belief degree-based uncertain scheme for a bi-objective two-stage green supply chain network design problem with direct shipment ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ Mean-risk model for uncertain portfolio selection with background risk ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ Uncertain random portfolio selection with high order moments ⋮ International portfolio optimization based on uncertainty theory ⋮ Uncertain portfolio selection with background risk and liquidity constraint ⋮ Portfolio management with background risk under uncertain mean-variance utility ⋮ Mean-Entropy Model of Uncertain Portfolio Selection Problem ⋮ Portfolio selection of uncertain random returns based on value at risk ⋮ Uncertain portfolio selection with mental accounts

Cites Work

• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• VaR optimal portfolio with transaction costs
• Uncertain models for single facility location problems on networks
• A risk index model for multi-period uncertain portfolio selection
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Shortest path problem with uncertain arc lengths
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
• Risk measurement in the presence of background risk
• Optimal portfolio and background risk: an exact and an approximated solution.
• A risk index model for portfolio selection with returns subject to experts' estimations
• Theory and practice of uncertain programming.
• Optimal multinational capital budgeting under uncertainty
• Portfolio selection with a new definition of risk
• Mean-risk model for uncertain portfolio selection
• Mean-chance model for portfolio selection based on uncertain measure
• Prospect Theory: An Analysis of Decision under Risk
• Risk Vulnerability and the Tempering Effect of Background Risk
• Uncertainty theory

This page was built for publication: Uncertain portfolio selection with background risk