Portfolio management with background risk under uncertain mean-variance utility

DOI10.1007/S10700-020-09345-6MaRDI QIDQ2052934zbMATH OpenOpenAlexFDO

Authors Xiaoxia Huang, Guowei Jiang

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

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

Recommendations

• Uncertain portfolio selection with background risk
• Mean-risk model for uncertain portfolio selection with background risk
• Uncertain portfolio selection with mental accounts and background risk
• A risk index model for uncertain portfolio selection with background risk
• Uncertain portfolio selection with background risk and liquidity constraint

Cites work

• A formula to calculate the variance of uncertain variable
• A review of uncertain portfolio selection
• Mean-risk model for uncertain portfolio selection
• Mean-risk model for uncertain portfolio selection with background risk
• Multiple risks and mean-variance preferences
• Partial derivatives, comparative risk behavior and concavity of utility functions.
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.
• The Ordering of Portfolios in Terms of Mean and Variance
• Uncertain decision making and its application to portfolio selection problem
• Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility
• Uncertain portfolio adjusting model using semiabsolute deviation
• Uncertain portfolio selection with background risk
• Uncertain portfolio selection with mental accounts and realistic constraints
• Uncertainty theory

Cited in

(10)

• Uncertain portfolio selection with background risk and liquidity constraint
• An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm
• Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
• Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
• A new uncertain dominance and its properties in the framework of uncertainty theory
• Optimal portfolio and background risk: an exact and an approximated solution.
• Mean-risk model for uncertain portfolio selection with background risk
• Portfolio selection with second order uncertain dominance constraint
• Uncertain portfolio selection with background risk
• Portfolio allocation and asset demand with mean-variance preferences

This page was built for publication: Portfolio management with background risk under uncertain mean-variance utility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2052934)