2012 Fiscal Year Final Research Report
An Optimal Medium- to Long-Term Investment Strategy Using Kernel Method and Control Policy
| Project/Area Number |
23810007
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
TAKANO Yuichi 東京工業大学, 大学院・社会理工学研究科, 助教 (40602959)
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| Project Period (FY) |
2011 – 2012
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| Keywords | 動的資産運用 / 数理最適化 / 制御関数 / カーネル法 / 次元縮約 |
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| Research Abstract |
The present study utilized nonlinear control policies to dynamically rebalance the portfolio for medium- to long-term asset allocation. By using the kernel method which is a class of algorithm for nonlinear data analysis, the problem can be reduced to a convex quadratic optimization problem. Moreover, a dimensionality reduction technique based on eigenvalue decomposition was also developed to reduce the problem size. Numerical experiments were conducted to assess the investment performance of the strategy established by this study and the effectiveness of the dimensionality reduction technique.
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