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《四川大学》 2004年
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Applications of Multi-Source Information Fusion (MSIF) in Economic Systems

Nyongesa L.Kennedy  
【摘要】:The essence of the present study is to investigate the applications of multi-source da.ta fusion methodology in economic systems. To introduce the ideas of data fusion, an elementary discussion of terminologies and structures is provided from engineering perspective. These developments in turn motivate the first application, on obtaining optimal volatility based on decisions taken by stock exchange agents monitoring the market, for volatility. This is made possible by putting the decision problem into Bayesian framework and having it analyzed.Single market model is a linear equation with unknown parameters. To estimate, the parameters and their variances, the model is put into the Linear Minimum variance framework and parameters estimated. Extension to multi-factor market model is also discussed. Investigation when the matrix of systematic errors is non-singular as a way of generalizing the model is considered. Also modeled is the wish of any investor preferring higher returns to lower returns; this is achieved by constraining the parameters in the model.Finally, a. portfolio management model is analyzed. The focus is on the case where the multiple returns are correlated. This generalizes the model, whereby a model with uncorrelated multiple returns is merely a special case. Pseudo-inverse technique and quadratic programming theory are used in obtaining the general solutions. The notion is further extended to constrained parameter model. Overall, generalized portfolio weights are obtained. Multiple expected returns with linear equality and linear inequality constraints are also studied.
【学位授予单位】:四川大学
【学位级别】:博士
【学位授予年份】:2004
【分类号】:F224

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