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Paper Abstract and Keywords
Presentation 2014-01-21 10:40
Long-short Strategy Based on the Nonlinear Portfolio Model with the DCC Model
Satoshi Inose, Tomoya Suzuki, Kazuo Yamanaka (Ibaraki Univ.) NLP2013-131
Abstract (in Japanese) (See Japanese page) 
(in English) The nonlinear portfolio model which we proposed in the previous studies (S.Inose, 2013) estimates future return rates by a nonlinear prediction model, but these future risks have not been estimated aggressively.
In the present study, we modify the nonlinear portfolio model by applying the DCC model, which is one of multivariate risk estimation models.
Moreover, we build two portfolios not only with long positions of the stocks whose the expected return rates are positive but also with short positions of the stocks whose expected return rates are negative.
This long and short strategy might improve the portfolio effect for spreading investment risks because it can increase the number of stocks to compose the whole portfolio.
Therefore, the present study performed some investment simulations based on real stock data to demonstrate that our proposed portfolio model can realize higher profits and lower risks, simultaneously.
Keyword (in Japanese) (See Japanese page) 
(in English) nonlinear prediction model / multivariate volatility prediction model / portfolio theory / / / / /  
Reference Info. IEICE Tech. Rep., vol. 113, no. 383, NLP2013-131, pp. 13-18, Jan. 2014.
Paper # NLP2013-131 
Date of Issue 2014-01-14 (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 NLP2013-131

Conference Information
Committee NLP  
Conference Date 2014-01-21 - 2014-01-22 
Place (in Japanese) (See Japanese page) 
Place (in English) Niseko Park Hotel 
Topics (in Japanese) (See Japanese page) 
Topics (in English) General 
Paper Information
Registration To NLP 
Conference Code 2014-01-NLP 
Language Japanese 
Title (in Japanese) (See Japanese page) 
Sub Title (in Japanese) (See Japanese page) 
Title (in English) Long-short Strategy Based on the Nonlinear Portfolio Model with the DCC Model 
Sub Title (in English)  
Keyword(1) nonlinear prediction model  
Keyword(2) multivariate volatility prediction model  
Keyword(3) portfolio theory  
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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.)
3rd Author's Name Kazuo Yamanaka  
3rd Author's Affiliation Ibaraki University (Ibaraki Univ.)
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Speaker Author-1 
Date Time 2014-01-21 10:40:00 
Presentation Time 20 minutes 
Registration for NLP 
Paper # NLP2013-131 
Volume (vol) vol.113 
Number (no) no.383 
Page pp.13-18 
#Pages 6 
Date of Issue 2014-01-14 (NLP) 

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