Portfolio management with background risk under uncertain mean-variance utility
Xiaoxia Huang, Guowei Jiang
Topics & Concepts
PortfolioAsset allocationEconometricsEconomicsVariance (accounting)Standard deviationModern portfolio theoryBlack–Litterman modelExpected utility hypothesisAsset (computer security)Actuarial sciencePortfolio optimizationInvestment strategyCapital allocation lineReplicating portfolioFinancial economicsMathematicsComputer scienceStatisticsMicroeconomicsAccountingProfit (economics)Computer securityFuzzy Systems and OptimizationRisk and Portfolio OptimizationEconomic theories and models