2002 Fiscal Year Annual Research Report

階層型ボルツマンマシーンによるファジィポートフォリオ選択手法の研究

Research Project

Project/Area Number	11680459
Research Institution	Osaka Institute of Technology
Principal Investigator	和多田淳三大阪工業大学, 工学部, 教授 (10158610)
Keywords	階層ボルツマンマシーン / メタ制御型ボルツマンマシーン / ファジィポートフォリオ選択問題 / 限定証券数の選択 / 平均分散分析 / ファジィ二次計画法 / ファジィ数理計画法
Research Abstract	H.Markowitzが提案したポートフォリオ・セレクションは証券への分散投資手法の原点であり,各証券への投資比率を求める数理的手法である。しかし、全証券数が膨大になるとその中から一定数の証券を実用的に十分効率的に選択することが困難である。この問題を解決する方法として,われわれが研究しているニューラルネットワークを導入し・改良したモデルを構築することが研究の目的である。本助成研究で次の研究成果が得られた。 1)ボルツマンマシーンとホップフィールドマシーンを階層構造に結合することで有機的動的にニューラルネットワークを稼動させることに成功した。この成果を国際学会や国際学会誌で公表した。 2)前期投資比率を考慮した問題を解くために、階層構造のニューラルネットワークを用いる方法を開発した。ホップフィールドネットワークで構成されるメタ制御階層を組み込むことで多数の証券の中から適当な数の証券に絞り込み、下階層ボルツマンマシーンで前期投資パターンと今期投資パターンの差を最小にする解を効率的に得ることに成功した。これらの成果を国内・国際学会で公表した。 3)研究代表者が既に確立しているファジィカオス短期予測手法と組合せることで次の期の証券の価格を予測し、予測した証券価格で証券の取引単位に基づく分散投資を確立した。これらの成果を国際会議で公表した。 4)端数処理のために現実の証券価格の予測をカオス短期予測に反映させ、証券取引単位を考慮した解をメタ制御型ボルツマンマシーンを組み合わせることで方法を改善した。 5)これらの手法は、証券以外の問題にも有効であり、作付け面積の決定や生産数の決定問題さらにプロジェクトの評価や管理に応用した。これらの成果を、国際会議で公表した。

Research Products
(21 results)

All Other

All Publications (21 results)

[Publications] J.Watada, K.Oda: "Formulation of a Two-Layered Boltzmann Machine for Portfolio Selection"International Journal of Fuzzy Systems. 39-44 (1999)
[Publications] T.Kawaura, J.Watada: "Formulation of a Two-Layered Boltzmann Machine for Portfolio Selection"Proceedings, IEEE Int.Conference on Fuzzy Systems, Taipei, August 17-25,1999. II. 1196-1201 (1999)
[Publications] T.Kawaura, J.Watada: "Neural Network Approach to Sales Portfolio Management"Proceedings, Int.Symposium on Medical Informatics and Fuzzy Technology, Hanoi, August 26-29,1999. 120-123 (1999)
[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi: "Formulation of Fuzzy Switching Regression Analysis"Proceedings, Int.Symposium on Medical Informatics and Fuzzy Technology, Hanoi, August 26-29,1999. 124-129 (1999)
[Publications] J.Watada, T.Kawaura: "Mean-Variance Analysis of Agricultural Management based on a Boltzmann Machine"Proceedings, IEEE Int.Conference on Fuzzy Systems, Seoul, August 22-25,1999. 1196-1201 (1999)
[Publications] T.Kawaura, J.Watada: "Mean-Variance Analysis of Medical Investment and Medical Products"Journal of Biomedical Soft Computing and Human Science. Vol.5,No.2. 91-96 (2000)
[Publications] T.Watanabe, J.Watada: "Portfolio Selection Problem with Minimum Fluctuations of Portfolio Pattern"The 4^<th> Asian Fuzzy Systems Symposium(AFSS2000). Vol.2. 1021-1026 (2000)
[Publications] T.Watanabe, J.Watada: "A Two-Layered Boltzmann Machine for for Rebalancing Portfolio Selection"Proceedings, The 3^<rd> Czech-Japan Seminar. 108-113 (2000)
[Publications] T.Watanabe, J.Watada: "A Meta-controlled Boltzmann Machine for Balancing Portfolio Selection"Central European Journal of Operations Research. (掲載決定). (2003)
[Publications] J.Watada, T.Watanabe: "Investment Decision Making with Minimum Fluctuations Based on Two Objective criterions"Proceedings, 9^<th> IFSA World Congress and 20th NAFPS International Conference, July 25-28,2001. (CD-ROM). 1396-1400 (2001)
[Publications] J.Watada, Y.Toyoura, S.G.Hwang: "Convex Hull Approach to Fuzzy Regression Analysis and Its Application to Oral Age Model"Proceedings, 9^<th> IFSA World Congress and 20th NAFPS International Conference, July 25-28,2001. (CD-ROM). 867-871 (2001)
[Publications] Junzo Watada: "The Formulation of Regression Model from Fuzzy Approach to Linguistic Approach"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.1. 11-37 (2001)
[Publications] Y.Matsumoto, J.Watada: "Chaotic Short-Term Forecasting on On-off Movement of a Stock"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.1. 287-291 (2001)
[Publications] T.Watanabe, J.Watada: "Formulation of Fuzzy Re-balance Model"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.2. 114-118 (2001)
[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi: "Analysis of Stock Price based on Fuzzy AR Model"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.2. 119-123 (2001)
[Publications] J.Watada: "Application of Fuzzy Real Time Regression Model to Data Mining"Proceedings, 4^<th> Czech-Japan Seminar on Data Analysis and Decision-Making under Uncertainty, Czech, Sept.15-17,2001. 166-209 (2001)
[Publications] H.Sugita, T.Watanabe, J.Watada: "Evaluation of Meta-Controlled Boltzmann Machine for a Portfolio Selection Problem"Proceedings, Int.Conference on Artificial Intelligence in Engineering and Technology(ICAIET-2002),June 16-17,2002. (2002)
[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi, J.CHoi: "Switching Model for Fuzzy AR Analysis"Proceedings, Int.Conference on Artificial Intelligence in Engineering and Technology(ICAIET-2002),June 16-17,2002. (2002)
[Publications] J.Watada: "Recent Advance of Soft-computing Application to Portfolio Selection Model"Proceedings, Conferences of Intelligent Systems and Technologies, Iasi, July 14-20,2002. PL-1-PL-27 (2002)
[Publications] T.Watanabe, H.Sugita, J.Watada: "Portfolio Selection Model Based on Block of Shares"Proceedings, Soft Computing and Intelligent Systems and 3^<rd> Int.Symposium on Advanced Intelligent Systems, Tsukuba, Oct.2002. 22P-1-1-22P-1-6 (2002)
[Publications] Y.Matsumoto, J.Watada: "Chaotic Short-term Forecasting based on Wavelet Trasformation"Proceedings, Soft Computing and Intelligent Systems and 3^<rd> Int.Symposium on Advanced Intelligent Systems, Tsukuba. 22P-2-1-22P-2-6 (2002)

2002 Fiscal Year Annual Research Report

階層型ボルツマンマシーンによるファジィポートフォリオ選択手法の研究

Principal Investigator

和多田 淳三 大阪工業大学, 工学部, 教授 (10158610)

Research Products

[Publications] J.Watada, K.Oda: "Formulation of a Two-Layered Boltzmann Machine for Portfolio Selection"International Journal of Fuzzy Systems. 39-44 (1999)

[Publications] T.Kawaura, J.Watada: "Formulation of a Two-Layered Boltzmann Machine for Portfolio Selection"Proceedings, IEEE Int.Conference on Fuzzy Systems, Taipei, August 17-25,1999. II. 1196-1201 (1999)

[Publications] T.Kawaura, J.Watada: "Neural Network Approach to Sales Portfolio Management"Proceedings, Int.Symposium on Medical Informatics and Fuzzy Technology, Hanoi, August 26-29,1999. 120-123 (1999)

[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi: "Formulation of Fuzzy Switching Regression Analysis"Proceedings, Int.Symposium on Medical Informatics and Fuzzy Technology, Hanoi, August 26-29,1999. 124-129 (1999)

[Publications] J.Watada, T.Kawaura: "Mean-Variance Analysis of Agricultural Management based on a Boltzmann Machine"Proceedings, IEEE Int.Conference on Fuzzy Systems, Seoul, August 22-25,1999. 1196-1201 (1999)

[Publications] T.Kawaura, J.Watada: "Mean-Variance Analysis of Medical Investment and Medical Products"Journal of Biomedical Soft Computing and Human Science. Vol.5,No.2. 91-96 (2000)

[Publications] T.Watanabe, J.Watada: "Portfolio Selection Problem with Minimum Fluctuations of Portfolio Pattern"The 4^<th> Asian Fuzzy Systems Symposium(AFSS2000). Vol.2. 1021-1026 (2000)

[Publications] T.Watanabe, J.Watada: "A Two-Layered Boltzmann Machine for for Rebalancing Portfolio Selection"Proceedings, The 3^<rd> Czech-Japan Seminar. 108-113 (2000)

[Publications] T.Watanabe, J.Watada: "A Meta-controlled Boltzmann Machine for Balancing Portfolio Selection"Central European Journal of Operations Research. (掲載決定). (2003)

[Publications] J.Watada, T.Watanabe: "Investment Decision Making with Minimum Fluctuations Based on Two Objective criterions"Proceedings, 9^<th> IFSA World Congress and 20th NAFPS International Conference, July 25-28,2001. (CD-ROM). 1396-1400 (2001)

[Publications] J.Watada, Y.Toyoura, S.G.Hwang: "Convex Hull Approach to Fuzzy Regression Analysis and Its Application to Oral Age Model"Proceedings, 9^<th> IFSA World Congress and 20th NAFPS International Conference, July 25-28,2001. (CD-ROM). 867-871 (2001)

[Publications] Junzo Watada: "The Formulation of Regression Model from Fuzzy Approach to Linguistic Approach"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.1. 11-37 (2001)

[Publications] Y.Matsumoto, J.Watada: "Chaotic Short-Term Forecasting on On-off Movement of a Stock"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.1. 287-291 (2001)

[Publications] T.Watanabe, J.Watada: "Formulation of Fuzzy Re-balance Model"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.2. 114-118 (2001)

[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi: "Analysis of Stock Price based on Fuzzy AR Model"Proceedings, 2^<nd> International Symposium of Advanced Intelligence Systems, August 24-26,2001. Vol.2. 119-123 (2001)

[Publications] J.Watada: "Application of Fuzzy Real Time Regression Model to Data Mining"Proceedings, 4^<th> Czech-Japan Seminar on Data Analysis and Decision-Making under Uncertainty, Czech, Sept.15-17,2001. 166-209 (2001)

[Publications] H.Sugita, T.Watanabe, J.Watada: "Evaluation of Meta-Controlled Boltzmann Machine for a Portfolio Selection Problem"Proceedings, Int.Conference on Artificial Intelligence in Engineering and Technology(ICAIET-2002),June 16-17,2002. (2002)

[Publications] Y.Toyoura, J.Watada, Y.Yabuuchi, J.CHoi: "Switching Model for Fuzzy AR Analysis"Proceedings, Int.Conference on Artificial Intelligence in Engineering and Technology(ICAIET-2002),June 16-17,2002. (2002)

[Publications] J.Watada: "Recent Advance of Soft-computing Application to Portfolio Selection Model"Proceedings, Conferences of Intelligent Systems and Technologies, Iasi, July 14-20,2002. PL-1-PL-27 (2002)

[Publications] T.Watanabe, H.Sugita, J.Watada: "Portfolio Selection Model Based on Block of Shares"Proceedings, Soft Computing and Intelligent Systems and 3^<rd> Int.Symposium on Advanced Intelligent Systems, Tsukuba, Oct.2002. 22P-1-1-22P-1-6 (2002)

[Publications] Y.Matsumoto, J.Watada: "Chaotic Short-term Forecasting based on Wavelet Trasformation"Proceedings, Soft Computing and Intelligent Systems and 3^<rd> Int.Symposium on Advanced Intelligent Systems, Tsukuba. 22P-2-1-22P-2-6 (2002)

和多田淳三大阪工業大学, 工学部, 教授 (10158610)