| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Outline of Final Research Achievements |
In this research, we propose two types of optimal portfolio estimators when an investor aims to invest a huge number of assets. Suppose that high dimensional data with respect to the past asset return is available. Then we propose (1)Optimal portfolio estimator by using an unbiased estimator for the inverse of the covariance matrix, (2)Shrinkage type estimator for the plug-in portfolio weights estimator. First, we derive the theoretical properties and confirm numerical validity of these estimators. Then, we compare the performance (in terms of the sharp ration and the utility function) with existing portfolios based on the Japanese stock price data (200 issues) and realized the superiority of the proposed method.
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