Market collective wisdom discovery for portfolio investments

doi:10.6186/IJIMS.2016.27.2.1

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/109486

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题名:	Market collective wisdom discovery for portfolio investments
作者:	Przemysław Juszczuk, Ignacy Kaliszewski, Dmitry Podkopaev, Hsu-Shih Shih
关键词:	Multiple criteria decision making;investment portfolio;knowledge discovery
日期:	2016-06-30
上传时间:	2017-02-22 02:10:17 (UTC+8)
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.
關聯:	International Journal of Information and Management Sciences 27(2), p.87-102
DOI:	10.6186/IJIMS.2016.27.2.1
显示于类别:	[管理科學學系暨研究所] 期刊論文

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