Abstract
In this paper, we will discuss the investment problem based on minimum variance and maximum expected return based on minimum fluctuation from the previous investment pattern. A conventional portfolio selection problem, which is based on a mean-variance model, is not solved under the consideration of its preceding investment. In a real market, considering influence of investing on a market, a large trade should not be a good strategy. In this paper we propose a method to take the investing pattern of a preceding term under the consideration. In this model, the distance of portfolio that is investing patterns is evaluated between this term and its preceding term and the portfolio is selected so as to minimize the total value of both the risk and the distance.
| Original language | English |
|---|---|
| Title of host publication | Annual Conference of the North American Fuzzy Information Processing Society - NAFIPS |
| Editors | M.H. Smith, W.A. Gruver, L.O. Hall |
| Pages | 1396-1400 |
| Number of pages | 5 |
| Volume | 3 |
| Publication status | Published - 2001 |
| Externally published | Yes |
| Event | Joint 9th IFSA World Congress and 20th NAFIPS International Conference - Vancouver, BC Duration: 2001 Jul 25 → 2001 Jul 28 |
Other
| Other | Joint 9th IFSA World Congress and 20th NAFIPS International Conference |
|---|---|
| City | Vancouver, BC |
| Period | 01/7/25 → 01/7/28 |
Keywords
- Fluctuation preceding term
- Portfolio selection
ASJC Scopus subject areas
- Computer Science(all)
- Media Technology