DocumentCode :
242786
Title :
Uncertain Portfolio Selection with Background Risk
Author :
Xiaoxia Huang ; Hao Di
Author_Institution :
Donlinks Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing, China
fYear :
2014
fDate :
28-30 Oct. 2014
Firstpage :
1
Lastpage :
3
Abstract :
In financial markets, many individuals also face background risk which may affect investors´ investments. This article proposes an uncertain portfolio selection model with background risk based on the uncertainty theory. Under the condition that the returns of assets obey linear uncertainty distributions, we obtain a specific uncertain portfolio selection model with background risk. Finally, a numerical example is given to illustrate the idea and application of the model.
Keywords :
investment; risk analysis; stock markets; background risk; financial markets; investments; uncertain portfolio selection model; uncertainty theory; Investment; Measurement uncertainty; Numerical models; Portfolios; Reactive power; Security; Uncertainty;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
IT Convergence and Security (ICITCS), 2014 International Conference on
Conference_Location :
Beijing
Type :
conf
DOI :
10.1109/ICITCS.2014.7021821
Filename :
7021821
Link To Document :
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