| Project/Area Number |
15310122
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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 |
Social systems engineering/Safety system
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| Research Institution | Chuo University |
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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) |
TAGUCHI Azuma Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (50114533)
KAMAKURA Toshinari Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (40150031)
KAWADAI Naoya Chuo University, Faculty of Science and Engineering, Research Associate, 理工学部, 助手 (70365881)
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| Project Period (FY) |
2003 – 2005
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| Project Status |
Completed (Fiscal Year 2005)
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| Budget Amount *help |
¥11,700,000 (Direct Cost: ¥11,700,000)
Fiscal Year 2005: ¥3,100,000 (Direct Cost: ¥3,100,000)
Fiscal Year 2004: ¥3,100,000 (Direct Cost: ¥3,100,000)
Fiscal Year 2003: ¥5,500,000 (Direct Cost: ¥5,500,000)
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| Keywords | portfolio optimization / international investment / asset allocation / MAD model / linear programming / 平均・リスクモデル / ポートフォリオ理論 / 取引コスト / 整理計画法 |
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| Research Abstract |
Standard approach in internationally diversified investment is the combination of asset allocation and index tracking. When the computation power and data availability was limited, this strategy was virtually the only workable approach to handle a large scale internationally diversified investment.
Our approach, on the other hand is based upon stock-bond integrated model whose universe consist of individual stocks and bonds of many countries. We solve a large scale linear programming problem to determine an optimal portfolio and demonstrated that this approach perfectly outperforms the asset allocation/index tracking approach using the historical data of 3,400 asset of over 40 countries.
The success depends upon (i)use of mean-absolute deviation model (instead of mean variance model), (ii)use of stock-bond integrated model and, (iii)availability of large scale data base.
We are now convinced through three years effort that our approach can generate a stable and superior ex-post results by extending the model in such a way to cover assets of many other countries and risky bonds in addition to risk-free bonds.
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