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頁籤選單縮合
題名 | Market Collective Wisdom Discovery for Portfolio Investments=探討證券投資組合的市場集體智慧 |
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作者 | 時序時; Juszczuk, Przemysław; Kaliszewski, Ignacy; Podkopaev, Dmitry; Shih, Hsu-shih; Podkopaev, Dmitry; Kaliszewski, Ignacy; Juszczuk, Przemysław; |
期刊 | International Journal of Information and Management Sciences |
出版日期 | 20160600 |
卷期 | 27:2 2016.06[民105.06] |
頁次 | 頁a6+87-102 |
分類號 | 563.5 |
語文 | eng |
關鍵詞 | 多準則決策; 投資組合; 知識發現; Multiple criteria decision making; Investment portfolio; Knowledge discovery; |
英文摘要 | 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. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。