| Project/Area Number |
12480105
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
社会システム工学
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| Research Institution | CHUO UNIVERSITY (2001-2002)
Tokyo Institute of Technology (2000) |
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Principal Investigator |
KONNO Hiroshi Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10015969)
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| Co-Investigator(Kenkyū-buntansha) |
WATANABE Norio Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10182940)
KAMAKURA Toshinari Chuo University, Faculty of Science and Engineering ng, Profess or, 理工学部, 教授 (40150031)
UNO Takeaki National Institute of Information, Associate Professor, 助教授 (00302977)
GOTOH Junya University of Tsukuba, Institute of Economic Planning, Assistant Professor, 社会工学系, 講師 (40334031)
水野 眞治 東京工業大学, 大学院・社会理工学研究科, 助教授 (90174036)
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| Project Period (FY) |
2000 – 2002
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| Project Status |
Completed (Fiscal Year 2002)
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| Budget Amount *help |
¥14,100,000 (Direct Cost: ¥14,100,000)
Fiscal Year 2002: ¥3,800,000 (Direct Cost: ¥3,800,000)
Fiscal Year 2001: ¥4,200,000 (Direct Cost: ¥4,200,000)
Fiscal Year 2000: ¥6,100,000 (Direct Cost: ¥6,100,000)
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| Keywords | portfolio theory / concave cost / long-short portfolio / rebalance / branch and bound / mean-lower partial risk model / large scale LP / D.C, cost function / D. C.取引コスト / ポートフォリオ / 最適化 / リスク / 取引コスト / 倒産判別 / SDD / データマイニング / 大規模投資 / SDP |
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| Research Abstract |
We conducted research on:
(1) Algorithms for solving a minimal concave cost rebalancing problem.
(2) Optimization of a long-short portfolio management.
(3) Portfolio optimization using lower partial risk measures.
These problems are formulated as nonconvex optimization problems and we demoostrated that these problems can be solved in an efficient manner by global optimization methodologies We believe that these accomplishments have much to do with portfolio optimization studies in the years to come.
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