Investment decision making with minimum fluctuations based on two objective criterions

Junzo Watada*, Teruyuki Watanabe

*この研究の対応する著者

研究成果

抄録

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.

本文言語English
ホスト出版物のタイトルAnnual Conference of the North American Fuzzy Information Processing Society - NAFIPS
編集者M.H. Smith, W.A. Gruver, L.O. Hall
ページ1396-1400
ページ数5
3
出版ステータスPublished - 2001
外部発表はい
イベントJoint 9th IFSA World Congress and 20th NAFIPS International Conference - Vancouver, BC
継続期間: 2001 7 252001 7 28

Other

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

ASJC Scopus subject areas

  • コンピュータ サイエンス(全般)
  • メディア記述

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