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Uncertain Portfolio Selection with Borrowing Constraint and Background Risk
Joint Authors
Ralescu, Dan
Lv, Linjing
Zhang, Bo
Peng, Jin
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-01-20
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Due to the complexity of financial markets, there exist situations where security returns and background factor returns are available mainly based on experts’ subjective beliefs, such as in the case of lack of historical data.
To deal with such indeterminate quantities, uncertain variables are introduced.
Based on uncertainty theory, this paper discusses the distribution function of the optimal portfolio return.
Two types of new uncertain programming models, namely, the chance-mean model and the measure-mean model, are proposed to make an optimal portfolio selection decision in an uncertain environment.
It is proved that there exists an equivalent relation between the chance-mean model and a deterministic linear programming model, which leads to an approach to obtain the optimal solutions of the proposed models.
Finally, some numerical examples are illustrated to show the modelling ideas and the effectiveness of the models.
American Psychological Association (APA)
Lv, Linjing& Zhang, Bo& Peng, Jin& Ralescu, Dan. 2020. Uncertain Portfolio Selection with Borrowing Constraint and Background Risk. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1193089
Modern Language Association (MLA)
Lv, Linjing…[et al.]. Uncertain Portfolio Selection with Borrowing Constraint and Background Risk. Mathematical Problems in Engineering No. 2020 (2020), pp.1-13.
https://search.emarefa.net/detail/BIM-1193089
American Medical Association (AMA)
Lv, Linjing& Zhang, Bo& Peng, Jin& Ralescu, Dan. Uncertain Portfolio Selection with Borrowing Constraint and Background Risk. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-13.
https://search.emarefa.net/detail/BIM-1193089
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1193089