KUKU

KU ScholarWorks

  • myKU
  • Email
  • Enroll & Pay
  • KU Directory
    • Login
    View Item 
    •   KU ScholarWorks
    • Business, School of
    • School of Business Scholarly Works
    • View Item
    •   KU ScholarWorks
    • Business, School of
    • School of Business Scholarly Works
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Knowledge representation and integration for portfolio evaluation using linear belief functions

    Thumbnail
    View/Open
    IEEESMCA06.pdf (5.187Mb)
    Issue Date
    2006-07
    Author
    Liu, Liping
    Shenoy, Catherine
    Shenoy, Prakash P.
    Publisher
    The Institute of Electrical and Electronic Engineers, Inc.
    Format
    5439358 bytes
    Type
    Article
    Metadata
    Show full item record
    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.
    URI
    http://hdl.handle.net/1808/988
    Collections
    • Center for East Asian Studies Scholarly Works [352]
    • Distinguished Professors Scholarly Works [918]
    • School of Business Scholarly Works [216]
    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.

    Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.


    We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.


    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    Browse

    All of KU ScholarWorksCommunities & CollectionsThis Collection

    My Account

    Login

    Statistics

    View Usage Statistics

    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    The University of Kansas
      Contact KU ScholarWorks
    Lawrence, KS | Maps
     
    • Academics
    • Admission
    • Alumni
    • Athletics
    • Campuses
    • Giving
    • Jobs

    The University of Kansas prohibits discrimination on the basis of race, color, ethnicity, religion, sex, national origin, age, ancestry, disability, status as a veteran, sexual orientation, marital status, parental status, gender identity, gender expression and genetic information in the University’s programs and activities. The following person has been designated to handle inquiries regarding the non-discrimination policies: Director of the Office of Institutional Opportunity and Access, IOA@ku.edu, 1246 W. Campus Road, Room 153A, Lawrence, KS, 66045, (785)864-6414, 711 TTY.

     Contact KU
    Lawrence, KS | Maps