融資を利用した分散投資における金利とポートフォリオの同時最適化

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: 2020/11/01

タイトル(英語): Simultaneous Optimization of Interest Rate and Portfolio For Diversified Investment using Loan

著者名: 田川　聖治（近畿大学理工学部），折登　由希子（広島大学大学院人間社会科学研究科）

著者名(英語): Kiyoharu Tagawa (School of Science and Engineering, Kindai University), Yukiko Orito (Graduate School of Humanities and Social Sciences, Hiroshima University)

キーワード: 分散投資，ポートフォリオ最適化，同時最適化，機会制約問題　　diversified investment，portfolio optimization，simultaneous optimization，chance constrained problem

要約(英語): In this paper, portfolio optimization using loan is formulated as a chance constrained problem in which the money borrowed from a loan is invested in risk assets. The chance constrained problem is transformed into an equivalence problem and proven to be a convex optimization problem. For deciding a proper interest rate of the loan that benefits both borrowers and lenders, a new method is proposed. It is shown, both theoretically and empirically, that the loan is always used up to the limit for improving the efficient frontier if the interest rate is decided by the proposed method.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.140 No.11 （2020） 特集：電気関係学会関西連合大会

本誌掲載ページ: 1257-1263 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/140/11/140_1257/_article/-char/ja/