2010 Fiscal Year Final Research Report
A Statistical Learning Analysis to Norm-Constrained Portfolio Optimization
| Project/Area Number |
20710120
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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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 | Chuo University |
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Principal Investigator |
GOTO Junya Chuo University, 理工学部, 准教授 (40334031)
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| Project Period (FY) |
2008 – 2010
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| Keywords | ポートフォリオ最適化 / VaR(バリュー・アット・リスク) / CVaR(条件付きバリュー・アット・リスク) / 汎化誤差 / ノルム制約 |
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| Research Abstract |
In this project, we investigate a portfolio optimization approach on the basis of the minimizations of VaR and CVaR, which have obtained a growing popularity both in practice and theory. Employing a theoretical underpinning known as the generalization theory for the ν-SVM, a statistical learning method, we empirically show that the norm-constrained versions of VaR and CVaR minimizations achieve better out-of-sample performance than the unconstrained versions.
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