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dc.contributor.authorChen, Yu-wangen
dc.contributor.authorYang, Jian-boen
dc.contributor.authorXu, Dong-lingen
dc.contributor.authorZhang, Dongxuen
dc.contributor.authorAcomb, Simonen
dc.contributor.authorPoon, Ser-huangen
dc.date.accessioned2011-05-05-
dc.date.accessioned2011-10-24T07:56:42Z-
dc.date.available2011-10-24T07:56:42Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aThe University of Manchester, Manchester Business School |cManchesteren
dc.relation.ispartofseries|aManchester Business School Working Paper |x603en
dc.subject.ddc330en
dc.subject.keywordbelief rule baseen
dc.subject.keywordevidential reasoningen
dc.subject.keywordasset classen
dc.subject.keywordportfolio optimisationen
dc.titleMulti-asset portfolio optimisation using a belief rule-based system-
dc.typeWorking Paperen
dc.identifier.ppn657393223en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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