2013 Fiscal Year Final Research Report
Application on the portfolio optimization problem of statistical mechanical informatics
| Project/Area Number |
24710169
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
Social systems engineering/Safety system
|
|---|
| Research Institution | Akita Prefectural University |
|---|
Principal Investigator |
SHINZATO Takashi 秋田県立大学, システム科学技術学部, 助教 (70574614)
|
|---|
| Project Period (FY) |
2012-04-01 – 2014-03-31
|
| Keywords | ポートフォリオ最適化 / 情報統計力学 / レプリカ解析 / 適応TAP方程式 / ランダム行列 / 平均分散モデル / 相関構造 |
|---|
| Research Abstract |
Recently in portfolio optimization problem, the analysis based on statistical mechanical informatics attracts attention of a lot of researchers in cross-disciplinary fields. In previous works, the typical behavior of minimal investment risk in the case that return rate of each asset is independently and identically distributed is investigated sufficiently, however, the minimal investment risk in the case that return rates are correlated with one another is not enough. Thus we investigate portfolio optimization problem in the correlated case using three approaches, replica analysis, adapted Thouless-Anderson-Palmer equation and random matrix integral. Furthermore, these analysis techniques are improved in order to treat correlation structure.
|
