A fuzzy portfolio selection model with background risk

DOI10.1016/J.AMC.2015.01.007MaRDI QIDQ299669zbMATH OpenOpenAlexFDO

Authors Ting Li, Wei-Guo Zhang, Weijun Xu

Publication date 22 June 2016

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

Full work available at URL https://doi.org/10.1016/j.amc.2015.01.007

zbMATH Keywords

background riskfuzzy numberpossibilistic meanpossibilistic variance

Mathematics Subject Classification ID

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

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Cites work

• A New and Efficient Algorithm for a Class of Portfolio Selection Problems
• A possibilistic approach to selecting portfolios with highest utility score
• Default reasoning and possibility theory
• Fuzzy chance-constrained portfolio selection
• Fuzzy sets as a basis for a theory of possibility
• scientific article; zbMATH DE number 1983123 (Why is no real title available?)
• Large-Scale Portfolio Optimization
• On possibilistic mean value and variance of fuzzy numbers
• Optimal portfolio and background risk: an exact and an approximated solution.
• Portfolio selection under independent possibilistic information
• Possibilistic mean-standard deviation models to portfolio selection for bounded assets
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Possibility for decision. A possibilistic approach to real life decisions.
• Possibility theory and the risk.
• Risk measurement in the presence of background risk
• Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
• The economics of risk and time

Cited in

(19)

• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
• The effect of prudence on the optimal allocation in possibilistic and mixed models
• Two-stage fuzzy portfolio selection problem with transaction costs
• Stock market prediction and portfolio selection models: a survey
• Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk
• Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models
• A risk index model for uncertain portfolio selection with background risk
• Research on fuzzy portfolio based on the background risk and elastic increment
• Research on fuzzy portfolio based on best expected satisfaction level and background risk
• The study on portfolio model based on improved particle swarm optimization
• Study on portfolio model under background risk and fractal market
• A high-moment triangle fuzzy random portfolio model with background risk
• International portfolio selection model with exchange rate risk
• A Study on Portfolio Selection Based on Fuzzy Linear Programming
• Uncertain portfolio selection with borrowing constraint and background risk
• The sparse portfolio optimization with stochastic dominance and background risk and the slqpso algorithm
• Research on probability mean-lower semivariance-entropy portfolio model with background risk

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