Uncertain Portfolio Selection with Background Risk and Liquidity Constraint

Table 3

Optimal portfolios in three different situations (%).

Security	1	2	3	4	5	6	7	8	9	10
Proportion 1	0.00	0.00	0.00	12.47	0.00	0.00	40.52	0.00	47.02	0.00
Proportion 2	0.00	0.00	0.00	21.98	0.00	0.00	78.02	0.00	0.00	0.00
Proportion 3	0.00	0.00	0.00	20.89	0.00	0.00	32.59	0.00	46.51	0.00

Remark: Proportion 1 denotes the allocation proportion of the model with background risk and liquidity; Proportion 2 denotes the allocation proportion of the model with background risk but without liquidity; Proportion 3 denotes the allocation proportion of the model with liquidity but without background risk.