A Linear Belief Function Approach to Portfolio Evaluation

  title={A Linear Belief Function Approach to Portfolio Evaluation},
  author={Liping Liu and Catherine Shenoy and Prakash P. Shenoy},
We show how to use linear belief functions to represent market information and financial knowledge, including complete ignorance, statis­ tical observations, subjective speculations, dis­ tributional assumptions, linear relations, and em­ pirical 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. 

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