A Linear Belief Function Approach to Portfolio Evaluation

We show how to use linear belief functions to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations, distributional assumptions, linear relations, and empirical asset pricing models. We then appeal to Dempster’s rule of combination to integrate the knowledge for assessing an overall belief on portfolio performance, and to update this belief by incorporating additional information.

• Type: Conference
• Year: 2003
• Where: UAI
• Authors: Liping Liu, Catherine Shenoy, Prakash P. Shenoy
• Keywords: Distributional Assumptions, Empirical Asset Pricing, Linear Belief Functions, UAI 2003, UAI 2008