Mean-variance model for portfolio optimization with background risk based on uncertainty theory.

Jia Zhai Manying Bai

Published in: Int. J. Gen. Syst. (2018)

Keyphrases

portfolio optimization
robust optimization
portfolio selection
risk management
risk measures
portfolio management
objective function
theoretical framework
mathematical programming
factor analysis
sharpe ratio
feature extraction
investment decisions
decision theory
problems involving
stock market
management system