Market collective wisdom discovery for portfolio investments
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
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