2009 Fiscal Year Final Research Report
Non-fixed Assets Index Fund Optimization by Using Evolutionary Algorithms
| Project/Area Number |
20710119
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Social systems engineering/Safety system
|
|---|
| Research Institution | Ashikaga Institute of Technology |
|---|
Principal Investigator |
ORITO Yukiko Ashikaga Institute of Technology, 大学院・社会科学研究科, 講師 (60364494)
|
|---|
| Project Period (FY) |
2008 – 2009
|
| Keywords | ポートフォリオ最適化 / インデックスファンド / 進化計算法(進化法) / 相関係数 |
|---|
| Research Abstract |
In this paper, we organized the index funds consisting of the non-fixed assets by using evolutionary algorithms. Non-fixed assets mean the assets that are dynamically selected to the index funds. The portfolios based on the Modern Portfolio Theory consist of the fixed assets and their optimization problems are to determine the proportion-weighted combinations for the fixed assets. Our proposed optimization methods, that use the evolutionary algorithms employing the theoretical properties of the evaluating functions, can dynamically select assets from all the assets to the index funds and can determine the weights of these selected assets. In the numerical experiments on the Tokyo Stock Exchange, we showed that our proposed methods can optimize the index funds that have more effective performances and smaller computational time than those of the traditional optimization methods do.
|
