Practical Development of Innovative Index Fund OptimizationSoftware for Pension Fund Operations

• Project/Area Number: 22510167
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Shikoku University
• Principal Investigator: HIKITA Mitsunori 四国大学, 経営情報学部, 教授 (60110128)
• Co-Investigator(Kenkyū-buntansha): NAKAGAWA Yuji 関西大学, 総合情報学部, 教授 (60141925)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2010: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: ファイナンス / 年金資金 / インデックス運用 / ポートフォリオ最適化 / 年金資金運用 / インデックスファンド / 離散最適化

Research Abstract

An improved surrogate constraints (ISC) method for optimally solving large-scale separable nonlinear integer programming problems with multiple constraints was presented by Nakagawa (2003). We developed index fund optimization software based on the ISC method. Our index fund optimization software was applied to Tokyo Stock Market for effective pension fund operations. The result shows that high quality portfolios were found to the instances for the 225 Japanese Nikkei stocks. Simulation experiments using the Nikkei 225 in comparison with the other index fund optimization software have shown that our index fund optimization software iseffective than other index fund optimization software.

Research Products

• [Journal Article] 離散最適化解法の金融工学への応用 (2011)
  • Author(s): 仲川勇二、井垣伸子、伊佐田百合子、疋田光伯
  • Journal Title: 日本オペレーションズ・リサーチ学会論文誌 Volume: Vol.56 Pages: 280-285
  • Peer Reviewed
• [Journal Article] 二目的多次元ナップザック問題の全有効解列挙のための標的解法 (2011)
  • Author(s): 仲川勇二、檀寛成、疋田光伯、仲川希
  • Journal Title: 電子情報通信学会論文誌(A) Volume: Vol.J94-A、No.8 Pages: 639-648
  • NAID: 110008687313
  • Peer Reviewed
• [Journal Article] 二目的多次元ナップザック問題の全有効解列挙のための標的解法 (2011)
  • Author(s): 仲川勇二
  • Journal Title: 電子情報通信学会論文誌(A) Volume: J94-A Pages: 639-648
  • NAID: 110008687313
  • Peer Reviewed
• [Journal Article] 離散最適化解法の金融工学への応用-年金等の長期運用に役立つ最適化技術の開発を目指して- (2011)
  • Author(s): 仲川勇二
  • Journal Title: オペレーションズ・リサーチ誌 Volume: 56 Pages: 280-285
  • NAID: 110008662083
  • Peer Reviewed