Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints

Yu Wang Chen; Ser Huang Poon; Jian Bo Yang; Dong Ling Xu; Dongxu Zhang; Simon Acomb

doi:10.1016/j.ejor.2012.07.008

Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints

Yu Wang Chen, Ser Huang Poon, Jian Bo Yang, Dong Ling Xu, Dongxu Zhang, Simon Acomb

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Abstract

A belief rule-based (BRB) system is a generic nonlinear modelling and inference scheme. It is based on the concept of belief structures and evidential reasoning (ER), and has been shown to be capable of capturing complicated nonlinear causal relationships between antecedent attributes and consequents. The aim of this paper is to develop a BRB system that complements the RiskMetrics WealthBench system for portfolio optimisation with nonlinear cash-flows and constraints. Two optimisation methods are presented to locate efficient portfolios under different constraints specified by the investors. Numerical studies demonstrate the effectiveness and efficiency of the proposed methodology. © 2012 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	775-784
Number of pages	9
Journal	European Journal of Operational Research
Volume	223
Issue number	3
DOIs	https://doi.org/10.1016/j.ejor.2012.07.008
Publication status	Published - 16 Dec 2012

Keywords

Belief rule base
Efficient frontier
Evidential reasoning
Portfolio optimisation

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title = "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints",

abstract = "A belief rule-based (BRB) system is a generic nonlinear modelling and inference scheme. It is based on the concept of belief structures and evidential reasoning (ER), and has been shown to be capable of capturing complicated nonlinear causal relationships between antecedent attributes and consequents. The aim of this paper is to develop a BRB system that complements the RiskMetrics WealthBench system for portfolio optimisation with nonlinear cash-flows and constraints. Two optimisation methods are presented to locate efficient portfolios under different constraints specified by the investors. Numerical studies demonstrate the effectiveness and efficiency of the proposed methodology. {\textcopyright} 2012 Elsevier B.V. All rights reserved.",

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AU - Poon, Ser Huang

AU - Yang, Jian Bo

AU - Xu, Dong Ling

AU - Zhang, Dongxu

AU - Acomb, Simon

PY - 2012/12/16

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AB - A belief rule-based (BRB) system is a generic nonlinear modelling and inference scheme. It is based on the concept of belief structures and evidential reasoning (ER), and has been shown to be capable of capturing complicated nonlinear causal relationships between antecedent attributes and consequents. The aim of this paper is to develop a BRB system that complements the RiskMetrics WealthBench system for portfolio optimisation with nonlinear cash-flows and constraints. Two optimisation methods are presented to locate efficient portfolios under different constraints specified by the investors. Numerical studies demonstrate the effectiveness and efficiency of the proposed methodology. © 2012 Elsevier B.V. All rights reserved.

KW - Belief rule base

KW - Efficient frontier

KW - Evidential reasoning

KW - Portfolio optimisation

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JO - European Journal of Operational Research

JF - European Journal of Operational Research

IS - 3

ER -

Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints

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Keywords

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