Portfolio management with background risk under uncertain mean-variance utility

DOI10.1007/S10700-020-09345-6zbMATH Open1479.91358OpenAlexW3091713127MaRDI QIDQ2052934FDOQ2052934

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

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

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)

Cites Work

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

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)