| Presentation | 2014-01-21 Long-short Strategy Based on the Nonlinear Portfolio Model with the DCC Model Satoshi INOSE, Tomoya SUZUKI, Kazuo YAMANAKA, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | The nonlinear portfolio model which we proposed in the previous studies estimates future return rates by a nonlinear prediction model, but these future risks have not been estimated aggressively. In the present study, we modify the nonlinear portfolio model by applying the DCC model, which is one of multivariate risk estimation models. Moreover, we build two portfolios not only with long positions of the stocks whose the expected return rates are positive but also with short positions of the stocks whose expected return rates are negative. This long and short strategy might improve the portfolio effect for spreading investment risks because it can increase the number of stocks to compose the whole portfolio. Therefore, the present study performed some investment simulations based on real stock data to demonstrate that our proposed portfolio model can realize higher profits and lower risks, simultaneously. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | nonlinear prediction model / multivariate volatility prediction model / portfolio theory |
| Paper # | NLP2013-131 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2014/1/14(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 | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Long-short Strategy Based on the Nonlinear Portfolio Model with the DCC Model |
| Sub Title (in English) | |
| Keyword(1) | nonlinear prediction model |
| Keyword(2) | multivariate volatility prediction model |
| Keyword(3) | portfolio theory |
| 1st Author's Name | Satoshi INOSE |
| 1st Author's Affiliation | Graduate School of Science and Engineering, Ibaraki University() |
| 2nd Author's Name | Tomoya SUZUKI |
| 2nd Author's Affiliation | College of Engineering, Ibaraki University |
| 3rd Author's Name | Kazuo YAMANAKA |
| 3rd Author's Affiliation | College of Engineering, Ibaraki University |
| Date | 2014-01-21 |
| Paper # | NLP2013-131 |
| Volume (vol) | vol.113 |
| Number (no) | 383 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |