|
KU ScholarWorks >
School of Business >
School of Business Articles >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/1808/154
|
|
View usage statistics
|
| Title: | A Linear Belief Function Approach to Portfolio Evaluation |
| Authors: | Liu, Liping
Shenoy, Catherine
Shenoy, Prakash P. |
| Keywords: | Normal belief functions
Multivariate normal distribution
Dempster-Shafer belief function theory
Portfolio theory |
| Issue Date: | Aug-2003 |
| Publisher: | Morgan Kaufmann Publishers |
| Extent: | 1727612 bytes |
| Type: | Book chapter |
| Citation: | U. Kjærulff and C. Meek (eds.), Uncertainty in Artificial Intelligence, 2003, pp. 370--377, Morgan Kaufmann, San Francisco, CA |
| Abstract: | We show how to use linear belief functions to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations, dis-tributional assumptions, linear relations, and em-pirical asset pricing models. We then appeal to Dempster’s rule of combination to integrate the knowledge for assessing an overall belief on portfolio performance, and to update this belief by incorporating additional information. |
| Description: | This paper is a condensed 8-pp version of a longer paper titled "Knowledge Representation and Integration for Portfolio Evaluation Using Linear Belief Functions," School of Business Working Paper, December 2003, that has been conditionally accepted in Nov. 2004 for publication in IEEE Transactions on Systems, Man & Cybernetics, Part A. |
| URI: | http://hdl.handle.net/1808/154 |
| ISBN: | 0-127-05664-5 |
| Appears in Collections: | School of Business Articles
|
Files in This Item:
| File |
Description |
Size | Format |
|---|
| UAI03b.pdf | | 1687Kb | Adobe PDF | View/Open |
|
Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
|
Copyright © 2006 by the University of Kansas
