|
Archive@NYU >
Stern School of Business >
IOMS: Information Systems Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/14391
|
| Title: | AN INTELLIGENT ASSISTANT FOR FINANCIAL HEDGING |
| Authors: | Benaroch, Michel
Dhar, Vasant |
| Issue Date: | Oct-1991 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | IS-91-33 |
| Abstract: | Problems in Finance, particularly those involving risk assessment and
management, have been slow to yield to expert systems technology for two
reasons. First, expert reasoning in such problems is often based on
âfirst principles" instead of
âsituation-action" rules that characterize most expert
systems. Secondly, the knowledge involved, such as that about financial
instruments, is constantly changing. This would make it extremely
difficult to keep a rule-base accurate. We have developed a
representation in the domain of financial hedging that has the following
characteristics. First, it allows for reasoning qualitatively based on
first principles using the fundamental quantitative valuation models
that characterize each instrument. Secondly, it uses object oriented
concepts and inheritance to minimize the effort needed to set up the
knowledge base and keep it current. Thirdly, it includes a calculus for
derivation of qualitative knowledge of
"one-dimensional-order", which allows it to solve problems
where optimality constraints are qualitative. |
| URI: | http://hdl.handle.net/2451/14391 |
| Appears in Collections: | IOMS: Information Systems Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
