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Modeling Financial Portfolios Using Belief Functions
Shenoy, Catherine Shenoy, Prakash P.
Shenoy, Catherine
Shenoy, Prakash P.
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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.
Description
Date
2002
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Publisher
Physica-Verlag
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Keywords
Dempster-Shafer belief function theory, Portfolio theory
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.