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Practical Development of Innovative Index Fund OptimizationSoftware for Pension Fund Operations

养老基金运营创新指数基金优化软件的实际开发

基本信息

批准号：
22510167
负责人：
HIKITA Mitsunori
金额：
$ 2.75万
依托单位：
Shikoku University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2010
资助国家：
日本
起止时间：
2010 至 2012
项目状态：
已结题

项目摘要

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.

Nakagawa（2003）提出了一种改进的替代约束（ISC）方法，用于求解多约束的大规模可分离非线性整数规划问题。基于ISC方法开发了指数基金优化软件。我们的指数基金优化软件应用于东京股票市场，有效地养老基金的运作。结果表明，高质量的投资组合被发现的情况下，225日日经股票。利用日经225指数与其他指数基金优化软件进行的仿真实验表明，本文的指数基金优化软件比其他指数基金优化软件更有效。