Title :
Imprecise information and financial environments: an interval probability approach
Author :
Engemann, Kurt J. ; Miller, Holmes E. ; Yager, Ronald R.
Author_Institution :
Iona Coll., New Rochelle, NY, USA
Abstract :
There is much imprecise information in financial environments; for example, in forecasting economic scenarios in order to assess the potential payoff of an investment or to optimize asset allocation. We provide a new methodology which may be used in situations in which the likelihood of a state of nature is given in the form of an interval probability. Our approach incorporates the behavioral disposition of the decision maker
Keywords :
financial data processing; investment; probability; asset allocation optimisation; behavioral disposition; decision maker; economic scenario forecasting; financial environment; imprecise information; interval probability; investment; potential payoff assessment; Asset management; Decision making; Economic forecasting; Educational institutions; Environmental economics; Investments; Portfolios; Probability distribution; Security; Uncertainty;
Conference_Titel :
Computational Intelligence for Financial Engineering, 2000. (CIFEr) Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on
Conference_Location :
New York, NY
Print_ISBN :
0-7803-6429-5
DOI :
10.1109/CIFER.2000.844588
