株価の時系列分析とポートフォリオ・インシュアランスを用いたポートフォリオの構築(<特集>経営システム工学特集)

概要

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This paper revolves on building an efficient portfolio and optimal portfolio in order to remove the unsystematic risk by a distributed investment. On this occasion, the previously researched Markowitz expectation rate of return precedence study, the VARIMA model prediction expectation rate of return, the GARCH model prediction expectation volatility of return, the fuzzy VARIMA model prediction expectation rate and volatility of return and risk-control using a put option which have an insurance function for a drop in price are combined to construct 6 portfolios. In addition, we can determine which method provides the highest rate of return and risk hedge by examining the return and risk of the above methods.
東海大学の論文
2004-09-30