Mean-risk model for uncertain portfolio selection with background risk

DOI10.1016/J.CAM.2017.07.038MaRDI QIDQ1675937zbMATH OpenOpenAlexFDO

Authors Jia Zhai, Manying Bai

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

zbMATH Keywords

background riskmean-risk modelportfolio selectionuncertain variable

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A risk index model for portfolio selection with returns subject to experts' estimations
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• Conditional value at risk and related linear programming models for portfolio optimization
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• Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
• On possibilistic mean value and variance of fuzzy numbers
• Optimal multinational capital budgeting under uncertainty
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• Portfolio selection based on fuzzy cross-entropy
• Portfolio selection with a new definition of risk
• Portfolio selection with fuzzy returns
• Risk measurement in the presence of background risk
• Risk Vulnerability and the Tempering Effect of Background Risk
• Uncertain portfolio selection with background risk
• Uncertainty theory
• VaR optimal portfolio with transaction costs

Cited in

(26)

• Uncertain portfolio optimization problem under a minimax risk measure
• Uncertain portfolio selection with background risk and liquidity constraint
• Portfolio management with background risk under uncertain mean-variance utility
• 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
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Uncertain portfolio selection with mental accounts and background risk
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• A risk index model for uncertain portfolio selection with background risk
• Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
• A fuzzy portfolio selection model with background risk
• A risk index model for multi-period uncertain portfolio selection
• Uncertain random mean-variance-skewness models for the portfolio optimization problem
• Study on portfolio model under background risk and fractal market
• A high-moment triangle fuzzy random portfolio model with background risk
• Uncertain portfolio selection with borrowing constraint and background risk
• An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm
• Uncertain portfolio selection with background risk
• The sparse portfolio optimization with stochastic dominance and background risk and the slqpso algorithm
• Utilizing RNN based model and bi-objective programming to a new mean-conditional value at risk-entropy for uncertain portfolio optimization with liquidity and diversification
• Multi-period portfolio tracking strategy based on expert uncertainty modeling and enhanced dung beetle optimization algorithm
• Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
• A new mean-variance-skewness model for portfolio optimization using three-part zigzag uncertain variable
• An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors
• A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
• Research on probability mean-lower semivariance-entropy portfolio model with background risk

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