期刊論文
| 學年 | 104 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2016-06-30 |
| 作品名稱 | Market collective wisdom discovery for portfolio investments |
| 作品名稱（其他語言） | |
| 著者 | Przemysław Juszczuk, Ignacy Kaliszewski, Dmitry Podkopaev, Hsu-Shih Shih |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Information and Management Sciences 27(2), p.87-102 |
| 摘要 | The goal of numerous investing strategies, as opposed to hedging strategies, is ＂to beat the market＂, i.e. to secure returns higher than those guaranteed by tracking market indices. In order to achieve this goal, one needs to identify key factors which drive markets and cause security prices to fluctuate. We assume that distinctive key market factors exist, though it is not known how such factors correlate and aggregate, and eventually push a market from one quotation to another. In other words, we purport that at a given time there is the collective wisdom in a market which shapes the collective investment pattern for the future. We engage ourselves to reverse engineer that wisdom. Specifically, we attempt to reverse engineer it from market returns (which we interpret as collective market wisdom embodiment) with the use of the notions of vectors of concessions and compromise half lines, recently introduced into Multiple Criteria Decision Analysis. We illustrate our approach with preliminary calculations for selecting portfolios of international investment funds. |
| 關鍵字 | Multiple criteria decision making;investment portfolio;knowledge discovery |
| 語言 | en_US |
| ISSN | 1017-1819 |
| 期刊性質 | 國外 |
| 收錄於 | TSSCI EI |
| 產學合作 | |
| 通訊作者 | Ignacy Kaliszewski |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/109486 ) |