Investment decision making with minimum fluctuations based on two objective criterions

Junzo Watada, Teruyuki Watanabe

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we will discuss the investment problem based on minimum variance and maximum expected return based on minimum fluctuation from the previous investment pattern. A conventional portfolio selection problem, which is based on a mean-variance model, is not solved under the consideration of its preceding investment. In a real market, considering influence of investing on a market, a large trade should not be a good strategy. In this paper we propose a method to take the investing pattern of a preceding term under the consideration. In this model, the distance of portfolio that is investing patterns is evaluated between this term and its preceding term and the portfolio is selected so as to minimize the total value of both the risk and the distance.

Original languageEnglish
Title of host publicationAnnual Conference of the North American Fuzzy Information Processing Society - NAFIPS
EditorsM.H. Smith, W.A. Gruver, L.O. Hall
Pages1396-1400
Number of pages5
Volume3
Publication statusPublished - 2001
Externally publishedYes
EventJoint 9th IFSA World Congress and 20th NAFIPS International Conference - Vancouver, BC
Duration: 2001 Jul 252001 Jul 28

Other

OtherJoint 9th IFSA World Congress and 20th NAFIPS International Conference
CityVancouver, BC
Period01/7/2501/7/28

Fingerprint

Decision making

Keywords

  • Fluctuation preceding term
  • Portfolio selection

ASJC Scopus subject areas

  • Computer Science(all)
  • Media Technology

Cite this

Watada, J., & Watanabe, T. (2001). Investment decision making with minimum fluctuations based on two objective criterions. In M. H. Smith, W. A. Gruver, & L. O. Hall (Eds.), Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS (Vol. 3, pp. 1396-1400)

Investment decision making with minimum fluctuations based on two objective criterions. / Watada, Junzo; Watanabe, Teruyuki.

Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS. ed. / M.H. Smith; W.A. Gruver; L.O. Hall. Vol. 3 2001. p. 1396-1400.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Watada, J & Watanabe, T 2001, Investment decision making with minimum fluctuations based on two objective criterions. in MH Smith, WA Gruver & LO Hall (eds), Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS. vol. 3, pp. 1396-1400, Joint 9th IFSA World Congress and 20th NAFIPS International Conference, Vancouver, BC, 01/7/25.
Watada J, Watanabe T. Investment decision making with minimum fluctuations based on two objective criterions. In Smith MH, Gruver WA, Hall LO, editors, Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS. Vol. 3. 2001. p. 1396-1400
Watada, Junzo ; Watanabe, Teruyuki. / Investment decision making with minimum fluctuations based on two objective criterions. Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS. editor / M.H. Smith ; W.A. Gruver ; L.O. Hall. Vol. 3 2001. pp. 1396-1400
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