A formal methodology for aggregating multiple market views
We describe a formal aggregation procedure that allows investors to combine disparate market views, including the reasons that support them, to produce a single collective view. The methodology uses a many-valued logic to represent individual chains of reasoning and the sum absolute difference as a way of measuring disagreement between individuals. Group level views are derived by selecting the individual views that have the lowest sum absolute difference from the other views. In cases where more than one individual view possesses the minimum sum absolute difference, a variant of the game-theoretic solution concept known as the Shapley value is employed as a way to generate a compromise between the candidate views. In this way a single group-level market view can always be derived that is both formally consistent and a genuine balance between individual judgements.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 14 (July)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:14:p:1175-1179. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.