Portfolio optimization with background risk and diversification based on uncertain random programming

DOI10.3934/JIMO.2024201MaRDI QIDQ6854858zbMATH OpenFDO

Authors Yue-fen Chen, Bo Li

Publication date 23 February 2026

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationbackground riskdiversificationchance theoryuncertain theory

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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