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Activity Number:
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106
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Type:
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Contributed
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Date/Time:
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Monday, August 4, 2008 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #301750 |
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Title:
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Score-Based Portfolio Strategy in Bayesian View
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Author(s):
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Timothy H. Lee*+
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Companies:
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CRM
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Address:
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595 Croydon Lane, Alpharetta, GA, 30022,
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Keywords:
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Score Strategy ; Portfolio decision ; Bayesian
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Abstract:
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In some portfolio decision making, a target population is split into subgroups based on selected criteria then various available actions are assigned to the subgroups. Such a practice is usually based on statistically derived scores using two group classification method. The scores are sometimes combined with other score(s) or predictive variable(s)in a matrix or in an equation and then performance for each combination (cell)or score group is observed for portfolio decision. In this study, commonly practiced score strategy was discussed in a Bayesian view point and a combination of an intuitive business approach and a statistical method was suggested for portfolio management in practitioners' point of view.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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