Modeling Financial Portfolios Using Belief Functions

Shenoy, Catherine; Shenoy, Prakash P.

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Issue Date

2002

Author

Shenoy, Catherine

Shenoy, Prakash P.

Publisher

Physica-Verlag

Format

157295 bytes

Type

Book chapter

Is part of series

Studies in Fuzziness and Soft Computing;Vol. 88

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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.

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.

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