IDEAS home Printed from https://ideas.repec.org/a/hin/jnlmpe/8249026.html
   My bibliography  Save this article

Uncertain Portfolio Selection with Background Risk and Liquidity Constraint

Author

Listed:
  • Jia Zhai
  • Manying Bai

Abstract

This paper discusses an uncertain portfolio selection problem with consideration of background risk and asset liquidity. In addition, the transaction costs are also considered. The security returns, background asset return, and asset liquidity are estimated by experienced experts instead of historical data. Regarding them as uncertain variables, a mean-risk model with background risk, liquidity, and transaction costs is proposed for portfolio selection and the crisp forms of the model are provided when security returns obey different uncertainty distributions. Moreover, for better understanding of the impact of background risk and liquidity on portfolio selection, some important theorems are proved. Finally, numerical experiments are presented to illustrate the modeling idea.

Suggested Citation

  • Jia Zhai & Manying Bai, 2017. "Uncertain Portfolio Selection with Background Risk and Liquidity Constraint," Mathematical Problems in Engineering, Hindawi, vol. 2017, pages 1-10, January.
    • Handle: RePEc:hin:jnlmpe:8249026
    DOI: 10.1155/2017/8249026
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/MPE/2017/8249026.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/MPE/2017/8249026.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2017/8249026?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pejman Peykani & Mojtaba Nouri & Mir Saman Pishvaee & Camelia Oprean-Stan & Emran Mohammadi, 2023. "Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree," Mathematics, MDPI, vol. 11(18), pages 1-23, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnlmpe:8249026. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.