進化計算手法によるリスク管理のためのポートフォリオ戦略最適化モデル

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2012/12/01

タイトル(英語): Portfolio Strategy Optimizing Model for Risk Management Utilizing Evolutionary Computation

著者名: 松村　幸輝（鳥取大学大学院工学研究科），柿木　秀文（三菱電機（株）姫路製作所）

著者名(英語): Koki Matsumura (Graduate school of Engineering, Tottori University), Hidefumi Kakinoki (Mitsubishi Electric Corporation, Himeji Seisakusho)

キーワード: ポートフォリオ，進化計算手法，リスク管理，戦略最適化，遺伝的プログラミング，遺伝的アルゴリズム　　Portfolio，Evolutionary Computation，Risk Management，Strategy Optimizing，Genetic Programming，Genetic Algorithm

要約(英語): This paper proposes a new optimizing system for stock portfolios which uses evolutionary computation techniques to derive a highly suitable combination and investment ratio of brands as well as an appropriate trading-strategy tree. Accurately predicting price trends in the stock market is a difficult task to achieve with the result that investors often suffer great losses. Because stock portfolios are thought to be a valid means of avoiding such risks in terms of financial engineering, they have the effect of reducing risk by diversifying investment into several different brands. Based on this, it was attempted to determine an optimal combination of brands that constitute a portfolio and to derive the investment ratio using a multi-objective genetic algorithm, and also to optimize a trading strategy tree using genetic programming. When a performance evaluation was carried out, the system was found to generally obtain the operative results by making it possible to obtain stable profits using a combination of low risk brands. The system was also able to realize low risk investments in all test periods.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.132 No.12 （2012） 特集：電気関係学会東海支部連合大会

本誌掲載ページ: 2019-2032 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/132/12/132_2019/_article/-char/ja/