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

[journal article]

Golosnoy, Vasyl; Okhrin, Yarema

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Please use the following Persistent Identifier (PID) to cite this document: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.
Classification Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods; Financial Planning, Accountancy
Method empirical
Free Keywords Act similarity; Case-based reasoning; General uncertainty; Model belief degree
Document language English
Publication Year 2008
Page/Pages p. 718-734
Journal Journal of Economic Behavior & Organization, 67 (2008) 3-4
DOI http://dx.doi.org/10.1016/j.jebo.2007.08.004
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)