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Investment strategy with factor model under style rotation

Research Project

Project/Area Number 16K01234
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionUniversity of Tsukuba

Principal Investigator

Makimoto Naoki  筑波大学, ビジネスサイエンス系, 教授 (90242263)

Co-Investigator(Kenkyū-buntansha) 小林 武  名古屋商科大学, 経済学部, 教授 (70751486)
Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywords投資戦略 / ファクターモデル / レジームシフト / 金利期間構造 / スタイルローテーション / 最適ポートフォリオ / 投資パフォーマンス / レジームスイッチ / 最適投資戦略 / ファイナンス / 投資理論
Outline of Final Research Achievements

We have investigated a method of expressing return fluctuations of financial assets with a small number of variables called factors, and making investment decisions based on the prediction of factors. In particular, we focused on the fact that the structure of factors and returns changed according to the market environment, and introduced a model with time variability to improve the accuracy of data fitting and prediction accuracy. In portfolio selection, we have developed a formulation and solution of optimization problems corresponding to prediction models with time variability. We conducted empirical analyses on stocks and bonds with several factors, and confirmed the superiority of the investment performance of the proposed method.

Academic Significance and Societal Importance of the Research Achievements

リスクオン/リスクオフという言い方があるように,金融市場はその時々で局面が変化する.そのため,投資運用実務においても,市場局面の変化を捉え,それに合わせた投資判断を行うことが求められる.本研究は,こうした局面変化を組み込んだモデルの推定や予測と,それにもとづくポートフォリオ構築手法を提案しており,既存研究の分析枠組をさらに拡充する成果を得ている.また,金融市場データによる検証で投資手法の有用性を確認しており,投資運用実務にも資する内容といえる.

Report

(5 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (13 results)

All 2020 2019 2018 2017 2016

All Journal Article (4 results) (of which Peer Reviewed: 3 results,  Open Access: 1 results) Presentation (9 results) (of which Int'l Joint Research: 3 results)

  • [Journal Article] 非線形確率金利モデルを用いた債券ポートフォリオ最適化2019

    • Author(s)
      島井祥之,牧本直樹
    • Journal Title

      Gendai Finance

      Volume: 41 Issue: 0 Pages: 27-55

    • DOI

      10.24487/gendaifinance.410002

    • NAID

      130007739918

    • ISSN
      2433-4464
    • Year and Date
      2019-10-31
    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] LINEAR REBALANCING STRATEGY FOR MULTI-PERIOD DYNAMIC PORTFOLIO OPTIMIZATION UNDER REGIME SWITCHES2018

    • Author(s)
      Takahiro Komatsu, Naoki Makimoto
    • Journal Title

      Journal of the Operations Research Society of Japan

      Volume: 61 Issue: 3 Pages: 239-260

    • DOI

      10.15807/jorsj.61.239

    • NAID

      130007420162

    • ISSN
      0453-4514, 2188-8299
    • Year and Date
      2018-07-25
    • Related Report
      2018 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2018

    • Author(s)
      Takeshi Kobayashi and Naoki Makimoto
    • Journal Title

      JAFEE2017冬季大会予稿集

      Volume: 1 Pages: 1-11

    • Related Report
      2017 Research-status Report
  • [Journal Article] Regime-switching dynamic Nelson-Siegel modeling to corporate bond yield spreads with time-varying transition probabilities2017

    • Author(s)
      Takeshi Kobayashi
    • Journal Title

      Journal of Applied Business and Economics

      Volume: 19(5) Pages: 10-28

    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Presentation] ミスプライスに着目した利付債ポートフォリオの構築法2020

    • Author(s)
      島井祥之,牧本直樹
    • Organizer
      日本オペレーションズ・リサーチ学会春季研究発表会
    • Related Report
      2019 Annual Research Report
  • [Presentation] LSTMによる時系列予測と株式投資戦略への応用2019

    • Author(s)
      松本健,牧本直樹
    • Organizer
      第22回人工知能学会金融情報学研究会
    • Related Report
      2018 Research-status Report
  • [Presentation] Instability of wealth effect on consumption and investment under regime switches2018

    • Author(s)
      Toshio Kimura, Naoki Makimoto
    • Organizer
      Asian Finance Association 2018 Conference
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Financial contagion through asset prices and interbank networks2018

    • Author(s)
      Jun Sakazaki, Naoki Makimoto
    • Organizer
      23rd Annual Workshop on Economic Science with Heterogeneous Interacting Agents
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Bond portfolio optimization using regime switching Nelson Siegel models2018

    • Author(s)
      Takeshi Kobayashi, Naoki Makimoto
    • Organizer
      12th International Conference on Computational and Financial Economics
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2017

    • Author(s)
      Takeshi Kobayashi, Naoki Makimoto
    • Organizer
      日本ファイナンス学会第25回大会
    • Place of Presentation
      千葉工業大学(千葉県習志野市)
    • Year and Date
      2017-06-03
    • Related Report
      2016 Research-status Report
  • [Presentation] Bond portfolio optimization under regime switching dynamic Nelson Siegel model2017

    • Author(s)
      Takeshi Kobayashi and Naoki Makimoto
    • Organizer
      日本ファイナンス学会 第25回大会
    • Related Report
      2017 Research-status Report
  • [Presentation] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2017

    • Author(s)
      Takeshi Kobayashi and Naoki Makimoto
    • Organizer
      日本保険・年金リスク学会 研究発表大会
    • Related Report
      2017 Research-status Report
  • [Presentation] Linear rebalancing strategy for portfolio optimization under regime switches2016

    • Author(s)
      Takahiro Komatsu, Naoki Makimoto
    • Organizer
      日本オペレーションズ・リサーチ学会秋季研究発表会
    • Place of Presentation
      山形大学(山形県山形市)
    • Year and Date
      2016-09-15
    • Related Report
      2016 Research-status Report

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Published: 2016-04-21   Modified: 2021-02-19  

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