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General uncertainty in portfolio selection : a case-based decision approach

[Zeitschriftenartikel]

Golosnoy, Vasyl; Okhrin, Yarema

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-263070

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Abstract 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.
Klassifikation Erhebungstechniken und Analysetechniken der Sozialwissenschaften; Finanzwirtschaft, Rechnungswesen
Methode empirisch
Freie Schlagwörter Act similarity; Case-based reasoning; General uncertainty; Model belief degree
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 718-734
Zeitschriftentitel Journal of Economic Behavior & Organization, 67 (2008) 3-4
DOI http://dx.doi.org/10.1016/j.jebo.2007.08.004
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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