Effective solution of a portfolio selection based on a block of shares by a meta-controlled boltzmann machine

Teruyuki Watanabe, Junzo Watada

    Research output: Contribution to journalArticle

    Abstract

    In a real investment, stocks are dealt with based on a block of shares. A block of shares is a minimum unit for trading stocks. However, a conventional portfolio selection problem does not consider about a block of shares. If we deal with stocks according to a block of shares, real allocations of funds to each stock should differ among the cases of different amounts of money. Furthermore, a decision maker should be unable to buy less than one block even if the investing ratio for some stock is much smaller. The objective of this paper is to build a portfolio selection model in consideration of the amount of investing funds and a block of shares. Our model is formulated as an integer quadratic programming problem. In general, an integer nonlinear programming problem is difficult to solve for all but the smallest cases. So we also propose the efficiently approximate model employing a Meta-controlled Boltzmann machine.

    Original languageEnglish
    Pages (from-to)129-135
    Number of pages7
    JournalLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
    Volume3215
    Publication statusPublished - 2004

    Fingerprint

    Boltzmann Machine
    Portfolio Selection
    Financial Management
    Quadratic programming
    Nonlinear programming
    Nonlinear Integer Programming
    Selection Model
    Approximate Model
    Integer Programming
    Quadratic Programming
    Unit

    ASJC Scopus subject areas

    • Computer Science(all)
    • Biochemistry, Genetics and Molecular Biology(all)
    • Theoretical Computer Science

    Cite this

    @article{aeab71d25ca84a8fa01ffdf0523d3f68,
    title = "Effective solution of a portfolio selection based on a block of shares by a meta-controlled boltzmann machine",
    abstract = "In a real investment, stocks are dealt with based on a block of shares. A block of shares is a minimum unit for trading stocks. However, a conventional portfolio selection problem does not consider about a block of shares. If we deal with stocks according to a block of shares, real allocations of funds to each stock should differ among the cases of different amounts of money. Furthermore, a decision maker should be unable to buy less than one block even if the investing ratio for some stock is much smaller. The objective of this paper is to build a portfolio selection model in consideration of the amount of investing funds and a block of shares. Our model is formulated as an integer quadratic programming problem. In general, an integer nonlinear programming problem is difficult to solve for all but the smallest cases. So we also propose the efficiently approximate model employing a Meta-controlled Boltzmann machine.",
    author = "Teruyuki Watanabe and Junzo Watada",
    year = "2004",
    language = "English",
    volume = "3215",
    pages = "129--135",
    journal = "Lecture Notes in Computer Science",
    issn = "0302-9743",
    publisher = "Springer Verlag",

    }

    TY - JOUR

    T1 - Effective solution of a portfolio selection based on a block of shares by a meta-controlled boltzmann machine

    AU - Watanabe, Teruyuki

    AU - Watada, Junzo

    PY - 2004

    Y1 - 2004

    N2 - In a real investment, stocks are dealt with based on a block of shares. A block of shares is a minimum unit for trading stocks. However, a conventional portfolio selection problem does not consider about a block of shares. If we deal with stocks according to a block of shares, real allocations of funds to each stock should differ among the cases of different amounts of money. Furthermore, a decision maker should be unable to buy less than one block even if the investing ratio for some stock is much smaller. The objective of this paper is to build a portfolio selection model in consideration of the amount of investing funds and a block of shares. Our model is formulated as an integer quadratic programming problem. In general, an integer nonlinear programming problem is difficult to solve for all but the smallest cases. So we also propose the efficiently approximate model employing a Meta-controlled Boltzmann machine.

    AB - In a real investment, stocks are dealt with based on a block of shares. A block of shares is a minimum unit for trading stocks. However, a conventional portfolio selection problem does not consider about a block of shares. If we deal with stocks according to a block of shares, real allocations of funds to each stock should differ among the cases of different amounts of money. Furthermore, a decision maker should be unable to buy less than one block even if the investing ratio for some stock is much smaller. The objective of this paper is to build a portfolio selection model in consideration of the amount of investing funds and a block of shares. Our model is formulated as an integer quadratic programming problem. In general, an integer nonlinear programming problem is difficult to solve for all but the smallest cases. So we also propose the efficiently approximate model employing a Meta-controlled Boltzmann machine.

    UR - http://www.scopus.com/inward/record.url?scp=35048847614&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=35048847614&partnerID=8YFLogxK

    M3 - Article

    AN - SCOPUS:35048847614

    VL - 3215

    SP - 129

    EP - 135

    JO - Lecture Notes in Computer Science

    JF - Lecture Notes in Computer Science

    SN - 0302-9743

    ER -