Structural Information in Probabilistic Framework: A Long Term Portfolio Performance Analysis
نویسنده
چکیده
Based upon the raw S&P 500 portfolio performance in eight consecutive years, this paper gives an overview analysis of the application of influence diagram to portfolio management. Our findings provide a ground for the question: Is the structure information provide by the expert superior to the one generated by the data? In this study we use an artificial intelligence system called Influence Diagram for portfolio selection. The system was constructed using both expert opinion and an automated system called BN Power Constructor and we found that the expert constructed system outperform human portfolio manager and market in the years of 1995 to 2003.
منابع مشابه
Robustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملPortfolio Performance Evaluation in a Modified Mean-Variance-Skewness Framework with Negative Data
The present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. Mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on Data Envelopment Analysis, which the variance of the assets had been used as an input to the DEA and expected return and skewness were the output. C...
متن کاملA New Efficient Metaheuristic Model for Stock Portfolio Management and its Performance Evaluation by Risk-adjusted Methods
In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...
متن کاملOverreaction & Under reaction: Evaluating performance and Speed of Adjustment Investment Strategies in Tehran Stock Exchange (TSE)
In this research, overreaction and underreaction have been studied by assessing profitability and excess returns of investment strategies and evaluating price adjustment speed in short and long terms. The results showed that the momentum investment strategies had higher annual returns in comparison to contrarian strategies in all short and long periods which led to confirmation of underreaction...
متن کاملMulti-criteria approach to project portfolio selection considering structural hardness and correlations between projects
Project portfolio selection is very important subject of decision-makers in project-based organizations. The best assignment of resources to the most appropriate projects is necessary as financing projects with low benefit is just waste of organization's resources. However, existing project selection models pay not much attention the structure and special features of projects as a selection cri...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006