歴史的データに基づくポートフォリオ選択問題に関する考察  [in Japanese] On the Portfolio Selection Model Applying to Historical Data  [in Japanese]

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Abstract

収益に対する不確実性が存在する市場での資産運用管理手法であるH.Markowitzのポートフォリオ理論は, 投資対象となる証券数が多い時, 適用が困難であるとされてきた.しかし, 近年種々の解法が提案されている.本論では, 著者らの空売りを認めたモデルの有効フロンティアの解法を一般化し, より広いクラスの一般線形制約に対応可能な, データ行列のランクに基づいたアルゴリズムを示す.この方法によって, 投資家の投資政策を反映したポートフォリオ選択の効率化がなされる.また, 数値例とともに, マルチファクターモデルとの関係について考察する.

The portfolio selection model proposed by H.Markowitz is a method to manage risk of investment. But there are some criticisms because it is hard to solve the quadratic programming problem when the number of securities to be invested is large. In recent years many fast algorithms have been proposed. In this paper a realistic algorithm to solve Mean-Variance portfolio selection problem is proposed. The idea is originated from the view point of data matrix's rank. This algorithm is an expansion of our previous model to various types of liner constraints. By the algorithm investors can select a portfolio based on their investment policy. In addition to some numerical examples, we discuss the relations of this model to multi-factor model.

Journal

  • Journal of Japan Industrial Management Association

    Journal of Japan Industrial Management Association 46(5), 395-400, 1995

    Japan Industrial Management Association

References:  13

Codes

  • NII Article ID (NAID)
    110003936735
  • NII NACSIS-CAT ID (NCID)
    AN00187973
  • Text Lang
    JPN
  • Article Type
    ART
  • ISSN
    0386-4812
  • Data Source
    CJP  NII-ELS  J-STAGE 
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