Paper Info
Title
A fuzzy portfolio selection model with background risk
Abstract
In financial markets, the presence of background risk may affect investors' investments. This article develops a fuzzy portfolio selection model with background risk, based on the definitions of the possibilistic return and possibilistic risk. For the returns of assets obey LR-type possibility distribution, we propose a specific portfolio selection model with background risk. Then, a numerical study is carried out by using the data concerning some stocks. Based on the data, we obtain the efficient frontier of the possibilistic portfolio with background risk, and compare it with the efficient frontier of the portfolio without background risk. Finally, we conclude that the background risk can better reflect the investment risk of the real economy environment which make the investors choose a more suitable portfolio to them.
Year
DOI
Venue
2015
10.1016/j.amc.2015.01.007
Applied Mathematics and Computation
Keywords
Field
DocType
fuzzy number
Spectral risk measure,Financial risk,Actuarial science,Replicating portfolio,Modern portfolio theory,Efficient frontier,Portfolio,Portfolio optimization,Mathematics,Expected shortfall
Journal
Volume
Issue
ISSN
256
C
0096-3003
Citations 
PageRank 
References 
0
0.34
0
Authors
3
Name
Order
Citations
PageRank
Ting Li126549.83
Wei-Guo Zhang255739.22
Wei-Jun Xu315414.56