Multi-asset portfolio optimisation using a belief rule-based system

Arbeitspapier

The purpose of this paper is to apply a belief rule-based (BRB) system to solve the multiasset class portfolio optimisation problems. The BRB system, was developed on the basis of the concept of belief structures and the evidential reasoning (ER) approach, is a generic non-linear modelling and inference scheme. In this paper, the procedures of implementing the BRB system with RiskMetrics WealthBench to portfolio optimisation are discussed in details. Two different ways are proposed to locate the optimal portfolios under constraints supplied by the investors. Numerical studies demonstrate the effectiveness and efficiency of the proposed methodology.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Manchester Business School Working Paper ; No. 603

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: belief rule base ; evidential reasoning ; asset class ; portfolio optimisation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Yu-wang ; Yang, Jian-bo ; Xu, Dong-ling ; Zhang, Dongxu ; Acomb, Simon ; Poon, Ser-huang
• Ereignis: Veröffentlichung
• (wer): The University of Manchester, Manchester Business School
• (wo): Manchester
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/50667
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ