Internationally diversified Investment using Mean-Absolute Deviation Model : Theory and Empirical Study

使用均值-绝对偏差模型进行国际多元化投资：理论与实证研究

• 批准号: 15310122
• 负责人: KONNO Hiroshi
• 金额: $ 7.49万
• 依托单位: Chuo University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2003
• 资助国家: 日本
• 起止时间: 2003 至 2005
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-15310122/
• 关键词: portfolio optimization; international investment; asset allocation; MAD model; linear programming; 平均・リスクモデル; ポートフォリオ理論; 取引コスト; 整理計画法

Standard approach in internationally diversified investment is the combination of asset allocation and index tracking. When the computation power and data availability was limited, this strategy was virtually the only workable approach to handle a large scale internationally diversified investment.Our approach, on the other hand is based upon stock-bond integrated model whose universe consist of individual stocks and bonds of many countries. We solve a large scale linear programming problem to determine an optimal portfolio and demonstrated that this approach perfectly outperforms the asset allocation/index tracking approach using the historical data of 3,400 asset of over 40 countries.The success depends upon (i)use of mean-absolute deviation model (instead of mean variance model), (ii)use of stock-bond integrated model and, (iii)availability of large scale data base.We are now convinced through three years effort that our approach can generate a stable and superior ex-post results by extending the model in such a way to cover assets of many other countries and risky bonds in addition to risk-free bonds.

国际多元化投资的标准做法是资产配置与指数跟踪相结合。当计算能力和数据可用性有限时，该策略实际上是处理大规模国际多元化投资的唯一可行方法。另一方面，我们的方法基于股票债券集成模型，其范围由个股和债券组成许多国家的。我们解决了大规模线性规划问题以确定最佳投资组合，并使用 40 多个国家的 3,400 种资产的历史数据证明了这种方法完全优于资产配置/指数跟踪方法。成功取决于 (i) 使用均值-绝对偏差模型（而不是均值方差模型），（ii）使用股票债券综合模型，以及（iii）大规模数据库的可用性。通过三年的努力，我们现在确信我们的方法可以生成稳定且优越的模型通过扩展模型以涵盖许多其他国家的资产以及除无风险债券之外的风险债券，可以得到事后结果。

项目成果

Konno, H., Yamamoto, R.: "Global Optimization vs Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs"J.of Global Optimization. (to appear). (2004)

Konno, H., Yamamoto, R.：“非凸交易成本下的投资组合优化中的全局优化与整数规划”J.of Global Optimization。

Applications of Global Optimization to Portfolio Analysis

全局优化在投资组合分析中的应用

• 发表时间: 2005
• 期刊: Essays and Surveys in Global Optimization, (C.Audet et al., eds.). (Kluwer Academic Publishers)
• 作者: Konno;H.
• 通讯作者: H.

A Mean-Variance-Skewness Model : Algorithms and Applications

均值-方差-偏度模型：算法和应用

• 发表时间: 2005
• 期刊: International Journal of Theoretical and Applied Finance 9(掲載決定)
• 作者: Konno;H.;Yamamoto;R.
• 通讯作者: R.

Konno, H: "The University Researcher and Patents"J.of Intellection Property Society of Japan. (to appear). (2004)

Konno, H：“大学研究员与专利”日本知识产权协会杂志。

マネーの経済学

货币经济学

• 发表时间: 2004
• 作者: Konno;H.;今野 浩也
• 通讯作者: 今野 浩也