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 |
| 巻 | 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月 25 → 2001 7月 28 |
Other
| Other | Joint 9th IFSA World Congress and 20th NAFIPS International Conference |
|---|---|
| City | Vancouver, BC |
| Period | 01/7/25 → 01/7/28 |
ASJC Scopus subject areas
- コンピュータ サイエンス（全般）
- メディア記述