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A remark on the rebalanced amount of portfolio based on absolute differences

宇部工業高等専門学校研究報告 Volume 55 Page 13-16
published_at 2009-03
UN20055000004.pdf
[fulltext] 301 KB
Title
絶対値和を用いたポートフォリオ組み換え量最小化分析
A remark on the rebalanced amount of portfolio based on absolute differences
Creators Yoshikawa Shuji
Creators Tanaka Shoko
Creators Maki Tomohiro
Creators Yoshikawa Daisuke
Source Identifiers
In this article, we study the optimal portfolio. There are two purposes we focus on. One is to reduce risks using principal component analysis. The other is to minimize the amount of rebalancing portfolio. Here, the amount of rebalancing portfolio is measured on the absolute difference basis. We especially devise the calculation method using portfolio discretization.
Languages jpn
Resource Type departmental bulletin paper
Publishers 宇部工業高等専門学校
Date Issued 2009-03
File Version Version of Record
Access Rights open access
Relations
[ISSN]0386-4359