EWMA control charts for monitoring optimal portfolio weights
In: Capital markets and finance in the enlarged Europe 2008,5
8 Ergebnisse
Sortierung:
In: Capital markets and finance in the enlarged Europe 2008,5
In: Statistical papers, Band 59, Heft 2, S. 663-684
ISSN: 1613-9798
SSRN
Working paper
In: Journal of economic dynamics & control, Band 33, Heft 2, S. 317-328
ISSN: 0165-1889
In: Journal of Economic Behavior & Organization, Band 67, Heft 3-4, S. 718-734
Often a portfolio investor can hardly imagine all states of nature relevant to his investment problem, causing general uncertainty concerning an asset allocation model. We quantify general uncertainty as the weakness of an investor's belief in a conventional portfolio procedure, then we develop the case-based decision-making approach for determining the optimal belief degree. The economic effect of the proposed case-based methodology is investigated in the empirical study. The empirical results suggest two successful patterns of case-based decisions that could be linked to the issue of market efficiency. Moreover, our case-based modeling reflects some behavioral phenomena observed on financial markets.
In: International journal of forecasting, Band 36, Heft 3, S. 761-780
ISSN: 0169-2070
In: Discussion paper Nr. 2020, 21