<p>This paper deals with the portfolio adjustment problem considering background risk, loss aversion and transaction costs simultaneously in an uncertain environment. Given the complexity of financial markets, situations arise where historical data fail to predict future returns, and expert estimates must be used instead. Based on uncertainty theory, we first establish an uncertain mean-risk index utility model with background risk, in which security returns and background asset returns are uncertain variables and subject to normal uncertainty distributions. Then the effects of changes in the mean of the background asset and the loss aversion coefficient on the optimal utility value are discussed. To reveal the effects of loss aversion and background risk on investment decisions, we present an economic analysis of investment strategies. Our analysis displays that background risk influences not only portfolio selection but also the investor’s effective loss aversion coefficient. The results show that the proposed portfolio model can indirectly express investors’ preferences by the different background asset returns. Furthermore, we provide complete comparative statics analysis and demonstrate the interaction effects between background risk and loss aversion parameters.</p>