Summary
the 2014 International Symposium on Nonlinear Theory and its Applications
2014
Session Number:B2L-C
Session:
Number:B2L-C3
Stock Portfolio Optimization Based on Nonlinear Prediction and DCC-GARCH Model
Satoshi Inose, Tomoya Suzuki, Kazuo Yamanaka,
pp.337-340
Publication Date:2014/9/14
Online ISSN:2188-5079
Summary:
Two ideas are introduced for the purpose of improving portfolios in terms of both profit and safety. Firstly, a nonlinear prediction technique is applied to estimate the expected return rate, and the DCC-GARCH model is applied to estimate the risk. Secondly, the long and short strategy is considered as an effective way to reduce the risk that is caused by highly correlated stocks. Some investment simulations based on real financial data show that the proposed method is successful in making better portfolios.