Uncertain Portfolio Selection with Background Risk

被引：0
|
作者：
Huang, Xiaoxia [1 ]
Di, Hao [1 ]
机构：
[1] Univ Sci & Technol Beijing, Donlinks Sch Econ & Management, Beijing 100083, Peoples R China
来源：
2014 INTERNATIONAL CONFERENCE ON IT CONVERGENCE AND SECURITY (ICITCS) | 2014年
关键词：
portfolio selection; background risk; uncertainty theory;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
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页数：3
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