Portfolio management with background risk under uncertain mean-variance utility.
Xiaoxia HuangGuowei JiangPublished in: Fuzzy Optim. Decis. Mak. (2021)
Keyphrases
- portfolio management
- portfolio optimization
- portfolio selection
- asset allocation
- utility function
- decision making
- sharpe ratio
- problems involving
- factor analysis
- stock market
- risk management
- financial data
- bi objective
- transaction costs
- expected utility
- robust optimization
- optimization methods
- stock exchange
- financial markets
- stock price
- genetic algorithm
- statistically significant
- multiple objectives
- risk aversion
- decision makers
- long term
- expert systems