Hierarchical decision making in strategic investment by a Boltzmann machine

Teruyuki Watanabe*, Junzo Watada, Kenji Oda

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


A conventional portfolio selection problem, which is based on a mean-variance model, is difficult to solve by using mathematical programming techniques. This difficulty is caused by the fact that the corresponding mathematical programming problems are large-dimensional one, since almost all variance-covariances of return rates are, typically, not zeros. In this paper, we propose an efficient method for solving a portfolio selection problem, a method which uses a Boltzmann machine. In a real-life problem, it is also important to find the optimal combination of a small number of invested securities out of many securities in a market, because of a limited amount of funds to invest into securities. So we also propose a portfolio selection method to obtain the invest ratio of limited number of securities out of huge number of securities using a multi-stage application of the Boltzmann machine.

Original languageEnglish
Pages (from-to)429-437
Number of pages9
JournalInternational Journal of Uncertainty, Fuzziness and Knowlege-Based Systems
Issue number4
Publication statusPublished - 1999 Aug
Externally publishedYes


  • Boltzmann Machine
  • Index Data
  • Limited Number of Securities
  • Multi-Stage Model
  • Portfolio Selection Problem

ASJC Scopus subject areas

  • Artificial Intelligence
  • Control and Systems Engineering


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