Application on the portfolio optimization problem of statistical mechanical informatics
| Project/Area Number |
24710169
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Akita Prefectural University |
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Principal Investigator |
SHINZATO Takashi 秋田県立大学, システム科学技術学部, 助教 (70574614)
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| Project Period (FY) |
2012-04-01 – 2014-03-31
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | ポートフォリオ最適化 / 情報統計力学 / レプリカ解析 / 適応TAP方程式 / ランダム行列 / 平均分散モデル / 相関構造 / ランダム行列アンサンブル / 絶対偏差モデル / 確率伝搬法 / 漸近固有値分布 |
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| Research Abstract |
Recently in portfolio optimization problem, the analysis based on statistical mechanical informatics attracts attention of a lot of researchers in cross-disciplinary fields. In previous works, the typical behavior of minimal investment risk in the case that return rate of each asset is independently and identically distributed is investigated sufficiently, however, the minimal investment risk in the case that return rates are correlated with one another is not enough. Thus we investigate portfolio optimization problem in the correlated case using three approaches, replica analysis, adapted Thouless-Anderson-Palmer equation and random matrix integral. Furthermore, these analysis techniques are improved in order to treat correlation structure.
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Report
(3 results)
Research Products
(37 results)
