| Presentation | 2012-11-08 Statistical Mechanical Informatics for Portfolio Optimization Problem with Correlated Returns and Multi-Constraint Conditions Takashi SHINZATO, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The present paper is to analyze the portfolio optimization problem under the assumption which each asset may be correlated with one another and the multiple constraint conditions with respect to portfolio position are presented by using the approaches based on statistical mechanical informatics. Particularly, two indicators for risk and dispersion of optimal solution are defined in order to characterize the investment behavior whether is the optimal or not. Moreover using replica analysis and Thouless-Anderson-Palmer equation the typical behaviors of two indicators are assessed. Furthermore the conjecture of Konno and Yamazaki, that the optimal solutions with mean absolute deviation model and with mean variance model have the same behavior, is verified by our proposed methods. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | portfolio optimization problem / mean-variance model / multi-factor model / random matrix theory / replica analysis / Thouless-Anderson-Palmer equation |
| Paper # | IBISML2012-80 |
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| Conference Information | |
| Committee | IBISML |
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| Conference Date | 2012/10/31(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
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| Paper Information | |
| Registration To | Information-Based Induction Sciences and Machine Learning (IBISML) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Statistical Mechanical Informatics for Portfolio Optimization Problem with Correlated Returns and Multi-Constraint Conditions |
| Sub Title (in English) | |
| Keyword(1) | portfolio optimization problem |
| Keyword(2) | mean-variance model |
| Keyword(3) | multi-factor model |
| Keyword(4) | random matrix theory |
| Keyword(5) | replica analysis |
| Keyword(6) | Thouless-Anderson-Palmer equation |
| 1st Author's Name | Takashi SHINZATO |
| 1st Author's Affiliation | Graduate School of Systems Science and Technology, Akita Prefectural University() |
| Date | 2012-11-08 |
| Paper # | IBISML2012-80 |
| Volume (vol) | vol.112 |
| Number (no) | 279 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |