宇部工業高等専門学校研究報告

トップページへ戻る

宇部工業高等専門学校研究報告 Volume 55
published_at 2009-03

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

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
Yoshikawa Daisuke
fulltext
301 KB
UN20055000004.pdf
Descriptions
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.