Chen, Yu-Wang; Yang, Jian-Bo; Xu, Dong-Ling; Zhang, Dongxu - 2010
The purpose of this paper is to apply a belief rule-based (BRB) system to solve the multi-asset class portfolio optimisation problems. The BRB system, was developed on the basis of the concept of belief structures and the evidential reasoning (ER) approach, is a generic non-linear modelling and...