Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
From MaRDI portal
Publication:2691461
DOI10.3934/jimo.2022181MaRDI QIDQ2691461
Publication date: 29 March 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022181
90B50: Management decision making, including multiple objectives
Cites Work
- Optimal impulse control of a portfolio with a fixed transaction cost
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- An expected regret minimization portfolio selection model
- The bounds of premium and optimality of stop loss insurance under uncertain random environments
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- A modified goal programming approach for the mean-absolute deviation portfolio optimization model
- Estimating allocations for value-at-risk portfolio optimization
- Dynamic portfolio optimization with risk control for absolute deviation model
- Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
- Uncertain portfolio selection with mental accounts and realistic constraints
- Mean-risk model for uncertain portfolio selection with background risk
- Uncertain random variables: a mixture of uncertainty and randomness
- A model for portfolio selection with order of expected returns.
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- The skewness for uncertain random variable and application to portfolio selection problem
- Portfolio selection of uncertain random returns based on value at risk
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- Elliptic entropy of uncertain random variables with application to portfolio selection
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- A modified insurance risk process with uncertainty
- Theory and practice of uncertain programming.
- Uncertain portfolio adjusting model using semiabsolute deviation
- Risky asset allocation and consumption rule in the presence of background risk and insurance markets
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Mean-risk model for uncertain portfolio selection
- A risk index model for uncertain portfolio selection with background risk
- Uncertain programming models for portfolio selection with uncertain returns
- UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
- Risk Vulnerability and the Tempering Effect of Background Risk
- International portfolio optimization based on uncertainty theory
- Fuzzy sets
- Uncertainty theory
