Analysis of pre- and post- evaluation of portfolio strategy

2022 Fiscal Year Final Research Report

• Project/Area Number: 19K04899
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 25010:Social systems engineering-related
• Research Institution: University of Tsukuba
• Principal Investigator: Makimoto Naoki 筑波大学, ビジネスサイエンス系, 教授 (90242263)
• Project Period (FY): 2019-04-01 – 2023-03-31
• Keywords: 投資戦略 / ポートフォリオ / パフォーマンス評価

Outline of Final Research Achievements

In this study, we analyzed the relationship between the combination of return prediction models and optimization methods in portfolio management and ex-post performance. From the results of empirical analysis of various investment assets, we confirmed that risk-sensitive performance measures can be improved by using a model that can more accurately express the statistical characteristics of returns such as distribution asymmetry and time variation. In addition, it was suggested that portfolio performance could be improved by incorporating non-linear autocorrelation of returns and medium- to long-term trends.

Free Research Field

金融工学

Academic Significance and Societal Importance of the Research Achievements

ポートフォリオのパフォーマンスはシャープレシオで評価することが多いが，最適化する段階では異なる尺度を用いることが多く，一貫したフレームワークになっていない．本研究では，リターン予測や最適化のモデルと事後的なパフォーマンスの関係を幅広く検証することで，パフォーマンスを改善するためのポートフォリオ構築手法を提示している．これらの結果は，投資戦略のリターン予測や最適化の高度化に資するものであり，またポートフォリオ運用実務に有用な知見を与えるものと考えられる．