Portfolio Models for the Next Generation Fund Management

下一代基金管理的投资组合模型

• 批准号: 12480105
• 负责人: KONNO Hiroshi
• 金额: $ 9.02万
• 依托单位: CHUO UNIVERSITY (2001-2002)Tokyo Institute of Technology (2000)
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2000
• 资助国家: 日本
• 起止时间: 2000 至 2002
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-12480105/
• 关键词: portfolio theory; concave cost; long-short portfolio; rebalance; branch and bound; mean-lower partial risk model; large scale LP; D.C, cost function; D. C.取引コスト; ポートフォリオ; 最適化; リスク; 取引コスト; 倒産判別; SDD; データマイニング; 大規模投資; SDP

We conducted research on:(1) Algorithms for solving a minimal concave cost rebalancing problem.(2) Optimization of a long-short portfolio management.(3) Portfolio optimization using lower partial risk measures.These problems are formulated as nonconvex optimization problems and we demoostrated that these problems can be solved in an efficient manner by global optimization methodologies We believe that these accomplishments have much to do with portfolio optimization studies in the years to come.

研究内容包括：（1）求解最小凹成本再平衡问题的算法。(2)优化多空组合管理。(3)利用低偏风险测度的投资组合优化问题，将这些问题转化为非凸优化问题，并证明了这些问题可以用全局优化方法有效地求解。我们相信，这些成果对今后的投资组合优化研究有很大的意义。

项目成果

Konno, H. and Wijayanayake, A.: "Minimal Cost Index Tracking under Concave Transaction Costs and Minimal Transaction Unit Constrains"Int'l J. of Theoretical and Applied Finance. 4. 939-950 (2001)

Konno, H. 和 Wijayanayake, A.：“凹交易成本和最小交易单位约束下的最小成本指数跟踪”Intl J. of Theoretical and Applied Finance。

Konno, H., Yamamoto, R: "Minimsl Conasve Cost Rebalance of a Portfolio to the Eifficient Frontier"Mathematical Programming. (to appear). (2003)

Konno, H.，Yamamoto, R：“投资组合到有效前沿的最小 Conasve 成本再平衡”数学规划。

Kawadai, N., Konno H.: "Solving Large Scale Mean-Variance Models with Dense Nonfactorable Covariance Matices"J.of the OR Society of Japan. 44. 251-260 (2001)

Kawadai, N., Konno H.：“用密集不可因子协方差矩阵求解大规模均值方差模型”J. of the OR Society of Japan。

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Konno, H.: "The Past, Present and Future of Software/Business Method Patents"Iwanami-Shoten. (2002)

Konno, H.：“软件/商业方法专利的过去、现在和未来”岩波书店。