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| Presentation | 2011-10-20 10:25 Stock Portfolio Management with Nonlinear Timeseries Prediction Satoshi Inose, Tomoya Suzuki (Ibaraki Univ.)  CAS2011-34 NLP2011-61 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | Markowitz’s portfolio selection estimates a future return by the mean value of historical price movements, and estimates a risk by the standard deviation of them. From the viewpoint of time-series prediction, this estimation of a future return is considered as too simple to predict real financial markets, which are so complex that simple predictions like moving-average model must be insufficient. For this reason, we prefer advanced prediction models to improve the estimation accuracy of future returns. However, we have to redefine the risk in the portfolio theory if we change how to estimate future returns; thereby, our portfolio method regards the risk as the possibility of prediction errors. To confirm the validity of our method through investment simulations with real stock prices, we demonstrate that our method can realize higher profits and lower risk than the previous portfolio theory. |
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| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | portfolio theory / timeseries prediction models / financial engineering / / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 111, no. 243, NLP2011-61, pp. 7-12, Oct. 2011. | |
| Paper # | NLP2011-61 | |
| Date of Issue | 2011-10-13 (CAS, NLP) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | CAS2011-34 NLP2011-61 |
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| Conference Information | |
| Committee | CAS NLP |
| Conference Date | 2011-10-20 - 2011-10-21 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Shizuoka Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Circuit and System, etc. |
| Paper Information | |
| Registration To | NLP |
| Conference Code | 2011-10-CAS-NLP |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Stock Portfolio Management with Nonlinear Timeseries Prediction |
| Sub Title (in English) | |
| Keyword(1) | portfolio theory |
| Keyword(2) | timeseries prediction models |
| Keyword(3) | financial engineering |
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| 1st Author's Name | Satoshi Inose |
| 1st Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
| 2nd Author's Name | Tomoya Suzuki |
| 2nd Author's Affiliation | Ibaraki University (Ibaraki Univ.) |
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| Speaker | Author-1 |
| Date Time | 2011-10-20 10:25:00 |
| Presentation Time | 25 minutes |
| Registration for | NLP |
| Paper # | CAS2011-34, NLP2011-61 |
| Volume (vol) | vol.111 |
| Number (no) | no.242(CAS), no.243(NLP) |
| Page | pp.7-12 |
| #Pages | 6 |
| Date of Issue | 2011-10-13 (CAS, NLP) |
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