Loading...
Knowledge representation and integration for portfolio evaluation using linear belief functions
Liu, Liping Shenoy, Catherine Shenoy, Prakash P.
Liu, Liping
Shenoy, Catherine
Shenoy, Prakash P.
Citations
Altmetric:
Abstract
In this paper, we propose a linear belief function approach to evaluating portfolio performance. By drawing on the notion of linear belief functions, we propose an elementary approach to knowledge representation for expert systems using linear belief functions. We show how to use basic matrices to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations, distributional assumptions, linear relations, and empirical asset pricing models. We then appeal to Dempster’s rule of combination to integrate the knowledge for assessing the overall belief of portfolio performance, and updating the belief by incorporating additional information. We use an example of three gold stocks to illustrate the approach.
Description
Date
2006-07
Journal Title
Journal ISSN
Volume Title
Publisher
The Institute of Electrical and Electronic Engineers, Inc.
Files
Loading...
IEEESMCA06.pdf
Adobe PDF, 5.19 MB
Research Projects
Organizational Units
Journal Issue
Keywords
Dempster-Shafer belief function theory, Knowledge-based systems, Linear belief functions, Gaussian belief functions, Multivariate normal distribution, Portfolio evaluation
Citation
Liu, L., C. Shenoy, and P. P. Shenoy, "Knowledge representation and integration for portfolio evaluation using linear belief functions," IEEE Transactions on Systems, Man, and Cybernetics, Part A: Systems and Humans, Vol. 36, No. 4, July 2006, pp. 774--785.