Research on Methods of Fuzzy Portfolio Selection with Limited Number of Securities

有限证券数量模糊投资组合选择方法研究

• 批准号: 08680471
• 负责人: WATADA Junzo
• 金额: $ 1.41万
• 依托单位: Osaka Institute of Technology
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08680471/
• 关键词: Fuzzy portfolio selection; Fuzzy mathematical programming; Fuzzy quadratic programming; Genetic algorithm; Mean-variance analysis; Boltzmann Machine; Hierarchical Boltzmann Machine; Selection into a limited number; ファジィ理論; 希求水準; ニューラルネットワーク

This research has been pursued and accomplished for three years. We have worked on developing the solutions of problems cleared and remained in the two previous researches and have obtained the following results.1)The interviews with experts on investment in the first and second research years cleared that it is important to reflect the judgment obtained from experts on investment on the decision-making.2)Especially, we successfully imprinented expectation level of invest experts in the model of fuzzy portfolio selection.3)As the main objective of this research, we developed the fuzzy model that can enable us to select the limited number of stocks out of huge stock market as the result.4)As dealing of stocks easily disturbs the stock market and we should take the dealing fee into consideration. it is preferred to select portfolio pattern that has minimum changes from the previous portfolio pattern. We proposed the model that enables us to select portfolio with minimum changes.5)In the Boltzmann Machine Model of portfolio selection, the adjustment of the weight between expected return and risk can be changeable according preference of strategy with high risk and high expected return to strategy with low risk and low expected return.6)Furthermore, we modeled the hierarchical Boltzmann Machine that enables us to select the limited number of stocks. This model will be presented at the international conference of fuzzy system in August 1999.7)We also obtained the following results by developing the above-mentioned research. We have also bui It the approach of the Boltzmann Machine's to solving effectively and efficiently a portfolio select ion problem.8)As these applications, we have modeled a hierarchical investment strategy by a Boltzmann Machine to invest.money in the international stock market.

这项研究已经进行并完成了三年。本研究针对前两次研究中已经解决和遗留的问题进行了研究，取得了以下成果：1）通过对第一、第二次研究年度的投资专家的访谈，明确了在决策中反映投资专家的判断是重要的。2）特别是，在第二次研究年度，投资专家的判断在决策中得到了反映。成功地将投资专家的期望水平引入到模糊投资组合选择模型中。3）作为本研究的主要目标，4）由于股票买卖容易对市场造成干扰，在进行股票买卖时应考虑交易费用的影响。优选地选择与先前的投资组合模式相比具有最小变化的投资组合模式。5）在投资组合选择的玻尔兹曼机模型中，期望收益和风险之间的权重可以根据高风险高期望收益策略对低风险低期望收益策略的偏好而调整。6）此外，我们模拟了层次玻尔兹曼机，使我们能够选择有限数量的股票。该模型将于1999年8月在国际模糊系统会议上发表。7）通过上述研究，我们还得到了以下结果。8）作为这些应用，我们在国际股票市场上用玻尔兹曼机建立了一个分层投资策略模型。invest.money

项目成果

藪内・和多田: "超楕円関数に基づくファジイロバスト回帰分析" Journal of the Operations Research Society of Japan. 39, 4. 512-524 (1996)

Yabuuchi 和 Watada：“基于超椭圆​​函数的模糊稳健回归分析”日本运筹学会杂志 39, 4. 512-524 (1996)。

Junzo Watada and Hiroto Mizunuma: ""Fuzzy Mean-Variance Analysis with Interval Constraints"" The 7th International Fuzzy Systems Association World Congress (IFSA97), in Prague, Czech Republic. 105-112 (1997)

Junzo Watada 和 Hiroto Mizunuma：““带有区间约束的模糊均值方差分析””第七届国际模糊系统协会世界大会 (IFSA97)，在捷克共和国布拉格举行。

J.Watada: "Fuzzy Portfolio Selection And Its Applications to Decision Making" Tara Mountaine Math.Publ. 13. 219-248 (1997)

J.Watada：“模糊投资组合选择及其在决策中的应用”Tara Mountaine Math.Publ。

J.Watada: ""Fuzzy Portfolio Selection and Its Applications to Decision Making"" eds.by Radko Mesiar and Beloslav Riecan, Fuzzy Structures, Tatra Moun-tains Mathematical Publi-cations. 219-248 (1997)

J.Watada：“模糊投资组合选择及其在决策中的应用”，Radko Mesiar 和 Beloslav Riecan 编辑，模糊结构，Tatra Mountains 数学出版物。

Masaki Arisawa and Junzo Watada: ""Structural Learning Algorithm of a Neural Network using Fuzzy Reasoning" (in Japanese)" Trans.of Instrument and Automation Association. Vol.33, No.11. 1087-1092 (1997)

Masaki Arisawa 和 Junzo Watada：““使用模糊推理的神经网络的结构学习算法”（日语）”Trans.of 仪器与自动化协会。