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General uncertainty in portfolio selection: a case-based decision approach
[Zeitschriftenartikel]
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 ... mehr
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.... weniger
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
https://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)