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Please use this identifier to cite or link to this item: http://hdl.handle.net/1808/158
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Title: Modeling Financial Portfolios Using Belief Functions
Authors: Shenoy, Catherine
Shenoy, Prakash P.
Keywords: Dempster-Shafer belief functions
Portfolio theory
Issue Date: 2002
Publisher: Physica-Verlag
Extent: 157295 bytes
Type: Book chapter
Citation: Shenoy, C. and P. P. Shenoy (2002), "Modeling Financial Portfolios Using Belief Functions," in R. P. Srivastava and T. J. Mock (eds.), Belief Functions in Business Decisions, pp. 316--332, Physica-Verlag, Heidelberg.
Series/Report no.: Studies in Fuzziness and Soft Computing;Vol. 88
Abstract: The main goal of this paper is to demonstrate how the Dempster-Shafer theory of belief functions can be used to model financial portfolios. In particular, we are interested in modeling how a portfolio return distribution changes as we learn new information about the different factors that impact the portfolio.
URI: http://hdl.handle.net/1808/158
ISBN: 3-7908-1451-2
ISSN: 1434-9922
Appears in Collections:School of Business Articles

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