Optimal Stock Portfolio Selection Using the Robust Parameter Design Approach

DOI Web Site

Bibliographic Information

Other Title
  • ロバスト・パラメータ設計を用いた最適株式ポートフォリオ選択
  • 応用研究論文 ロバスト・パラメータ設計を用いた最適株式ポートフォリオ選択
  • オウヨウ ケンキュウ ロンブン ロバスト ・ パラメータ セッケイ オ モチイタ サイテキ カブシキ ポートフォリオ センタク

Search this article

Abstract

“Robust Parameter Design（RPD）” is used to design parameters to construct robust functions under different noises. On the other hand, in deciding on an investment portfolio, which is a combination of investment assets of an individual or a company, efficient asset allocation is important; increase profitability as well as prevent a change of profitability. On the basis of a preceding study that used RPD for stock portfolio selection, this study improves the technique of that study and proposes a more efficient technique to select such portfolio. Thus it shows a further practical research of RPD. A stock investment simulation based on the proposed technique enabled selection of a much more efficient stock portfolio than those selected using the existing technique. It can be considered that the most effective improvement is to use the Signal-to-Noise ratio of dynamic characteristics as a performance index in order to decide optimal levels.

Journal

Related Projects

See more

Keywords

Details 詳細情報について

Report a problem

Back to top