Three-way Investment Decisions with Decision-theoretic Rough Sets

The decision-theoretic rough set model is adopted to derive a profit-based three-way approach to investment decision-making. A three-way decision is made based on a pair of thresholds on conditional probabilities. A positive rule makes a decision of investment, a negative rule makes a decision of no...

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Published inInternational journal of computational intelligence systems Vol. 4; no. 1; pp. 66 - 74
Main Authors Liu, Dun, Yao, Yiyu, Li, Tianrui
Format Journal Article
LanguageEnglish
Published Dordrecht Springer Netherlands 2011
Springer
Subjects
investment decisions
Keywords: Decision-theoretic rough sets
probabilistic rough sets
Research Article
three-way decisions
three-way decisions
investment decisions
probabilistic rough sets
Decision-theoretic rough sets
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Summary:The decision-theoretic rough set model is adopted to derive a profit-based three-way approach to investment decision-making. A three-way decision is made based on a pair of thresholds on conditional probabilities. A positive rule makes a decision of investment, a negative rule makes a decision of noninvestment, and a boundary rule makes a decision of deferment. Both cost functions and revenue functions are used to calculate the required two thresholds by maximizing conditional profit with the Bayesian decision procedure. A case study of oil investment demonstrates the proposed method.
ISSN:1875-6891
1875-6883
1875-6883
DOI:10.2991/ijcis.2011.4.1.6