Modeling Financial Portfolios Using Belief Functions
Catherine Shenoy, Prakash Pundalik Shenoy · Studies in fuzziness and soft computing · 2002
The main goal of this paper is to demonstrate how the theory of belief functions [Dempster 1967, Shafer 1976, Kohlas and Monney 1995, Smets 1998] can be used to model financial portfolios. In particular, we are interested in modeling how a portfolio return distribution changes as we learn new information about the different factors that impact the portfolio.