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General uncertainty in portfolio selection: a case-based decision approach
[journal article]
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 ... view more
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.... view less
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
https://doi.org/10.1016/j.jebo.2007.08.004
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)