Maki Tomohiro
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
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
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