✦ LIBER ✦

094004 (M10) Learning bayesian networks from incomplete databases : Ramoni M., Sebastiani S., Statistical Research Paper N° 13, Department of Actuarial Science and Statistics, City University, UK, 1997

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 80 KB
Volume: 21
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80394-0

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✦ Synopsis

An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive "buy and hold" strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.

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