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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/109486


    Title: Market collective wisdom discovery for portfolio investments
    Authors: Przemysław Juszczuk, Ignacy Kaliszewski, Dmitry Podkopaev, Hsu-Shih Shih
    Keywords: Multiple criteria decision making;investment portfolio;knowledge discovery
    Date: 2016-06-30
    Issue Date: 2017-02-22 02:10:17 (UTC+8)
    Abstract: 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.
    Relation: International Journal of Information and Management Sciences 27(2), p.87-102
    DOI: 10.6186/IJIMS.2016.27.2.1
    Appears in Collections:[Department of Management Sciences] Journal Article

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