A Portfolio Selection by SOM and An Asset Allocation of Risk/Nonrisk Assets by Fuzzy Reasoning Using the Selected Brands

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  • NAKAOKA Iori
    Graduate School of Science and Engineering, Ritsumeikan University
  • TANI Kyuichiro
    Graduate School of Science and Engineering, Ritsumeikan University
  • KAMEI Katsuari
    Department of Human and Computer Intelligence, Ritsumeikan University

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Other Title
  • SOMによる株式投資銘柄選定およびその選定銘柄を用いたファジィ推論による有リスク/無リスク資産分配法の提案
  • SOM ニ ヨル カブシキ トウシ メイガラ センテイ オヨビ ソノ センテイ メイガラ オ モチイタ ファジィ スイロン ニ ヨル ユウリスク ムリスク シサン ブンパイホウ ノ テイアン

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A portfolio is a useful method to calculate the rate of expected earnings and risks based on changes in stock prices. However, past methods such as the fundamental analysis, the technical analysis and etc. are not proposed as a decision support system available for real investments. On the other hand, speaking about the asset allocation, those methods determine asset allocation ratio using general indices such as TOPIX independently of the portfolio selections. This paper describes a novel decision support system for assisting in actual investment decisions. First, the system makes a stock investment brand selection using SOM (Self-Organizing Maps). Secondly, the system calculates asset allocation ratio of risk/nonrisk assets using both fuzzy reasoning and the management indices of the brands selected by SOM. We apply this method to actual stock price data and show better results than those by TOPIX. Finally, we discuss an effectiveness of the proposed support system against a steep fall in stock prices, such as IT Bubble collapse that began in 2000.

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