Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50667
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dc.contributor.authorChen, Yu-wangen_US
dc.contributor.authorYang, Jian-boen_US
dc.contributor.authorXu, Dong-lingen_US
dc.contributor.authorZhang, Dongxuen_US
dc.contributor.authorAcomb, Simonen_US
dc.contributor.authorPoon, Ser-huangen_US
dc.date.accessioned2011-05-05en_US
dc.date.accessioned2011-10-24T07:56:42Z-
dc.date.available2011-10-24T07:56:42Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/50667-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisher|aManchester Business School |cManchesteren_US
dc.relation.ispartofseries|aManchester Business School working paper |x603en_US
dc.subject.ddc330en_US
dc.subject.keywordbelief rule baseen_US
dc.subject.keywordevidential reasoningen_US
dc.subject.keywordasset classen_US
dc.subject.keywordportfolio optimisationen_US
dc.titleMulti-asset portfolio optimisation using a belief rule-based systemen_US
dc.typeWorking Paperen_US
dc.identifier.ppn657393223en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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