Structural Information in Probabilistic Framework: A Long Term Portfolio Performance Analysis

DOI

10.2991/jcis.2006.170How to use a DOI?

Keywords

Bayesian Network, Portfolio management

Abstract

Based upon the raw S&P 500 portfolio performance in eight consecutive years, this paper gives an overview analysis of the application of influence diagram to portfolio management. Our findings provide a ground for the question: Is the structure information provide by the expert superior to the one generated by the data? In this study we use an artificial intelligence system called Influence Diagram for portfolio selection. The system was constructed using both expert opinion and an automated system called BN Power Constructor and we found that the expert constructed system outperform human portfolio manager and market in the years of 1995 to 2003.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chiu-Che Tseng
PY  - 2006/10
DA  - 2006/10
TI  - Structural Information in Probabilistic Framework: A Long Term Portfolio Performance Analysis
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 617
EP  - 620
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.170
DO  - 10.2991/jcis.2006.170
ID  - Tseng2006/10
ER  -