2012 Fiscal Year Final Research Report
Practical Development of Innovative Index Fund OptimizationSoftware for Pension Fund Operations
| Project/Area Number |
22510167
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Shikoku University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
NAKAGAWA Yuji 関西大学, 総合情報学部, 教授 (60141925)
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| Project Period (FY) |
2010 – 2012
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| Keywords | ファイナンス / 年金資金 / インデックス運用 / ポートフォリオ最適化 |
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| Research Abstract |
An improved surrogate constraints (ISC) method for optimally solving large-scale separable nonlinear integer programming problems with multiple constraints was presented by Nakagawa (2003). We developed index fund optimization software based on the ISC method. Our index fund optimization software was applied to Tokyo Stock Market for effective pension fund operations. The result shows that high quality portfolios were found to the instances for the 225 Japanese Nikkei stocks. Simulation experiments using the Nikkei 225 in comparison with the other index fund optimization software have shown that our index fund optimization software iseffective than other index fund optimization software.
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