JP2004220196A - Portfolio calculation program, portfolio calculation method, and portfolio calculation device - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To calculate a portfolio while automatically setting a return on the basis of the trend of a company or business field. <P>SOLUTION: When terminal devices 10a-10c designate a stock to be incorporated into the portfolio, a predicted return calculation part 124b calculates the predicted return of the object stock from company data 123c and market data 123d stored in a storage part 123. An effective frontier calculation part 124c calculates an effective frontier curve by use of the predicted return calculated by the predicted return calculation part 123b and risk data 123b stored in the storage part 123. <P>COPYRIGHT: (C)2004,JPO&NCIPI

Description

[0001]
TECHNICAL FIELD OF THE INVENTION
The present invention relates to a portfolio calculation program, a portfolio calculation method, and a portfolio calculation device for calculating a portfolio indicating an optimal investment ratio for stock certificates of a plurality of companies, and particularly to a portfolio capable of appropriately calculating an expected profit obtained from stock certificates of each company. The present invention relates to a calculation program, a portfolio calculation method, and a portfolio calculation device.
[0002]
[Prior art]
When investing in a financial product represented by a stock certificate, it is common to diversify and invest in a plurality of financial products in order to reduce the risk of loss. When investing in a plurality of financial instruments in this way, the profit and loss that can be expected as a whole are determined based on the investment amount ratio for each financial instrument.
[0003]
Portfolios have traditionally been used to determine the optimal investment ratio for multiple financial products. Portfolios are calculated for each financial product using “return”, which is the expected return on investment, and “risk,” which is the variability of the return in terms of the variance or standard deviation of the return. Reference 1).
[0004]
By adopting a portfolio that has the lowest risk for the portfolio return, that is, the return of the invested financial product as a whole, the probability of loss as a whole can be reduced.
[0005]
[Non-patent document 1]
Yuichiro Kawaguchi, "Introduction to Real Estate Financial Engineering" Diamond Co., February 8, 2001, p. 214-244
[0006]
[Problems to be solved by the invention]
However, in the conventional portfolio calculation described above, a past return record is adopted as a return value, or a value determined by an institutional investor or the like to be appropriate is input.
[0007]
When a past return record is adopted as a return, it is assumed that the return value of the financial instrument is substantially constant. However, the price of financial products fluctuates depending on the situation, and in particular, the price of stock certificates issued by a company changes greatly depending on the business condition of the company and trends in the industry. In other words, there has been a problem that past return results cannot reflect current trends in companies and industries, and it is not possible to set an appropriate return value.
[0008]
Also, if institutional investors and others make their own judgment and enter the return value, each institutional investor will set the value based on their own experience, and it will not be possible to automate the input of the return value. There was a problem.
[0009]
SUMMARY OF THE INVENTION The present invention has been made to solve the above-described problem, and has a portfolio calculation program, a portfolio calculation method, and a portfolio calculation method capable of automatically setting a return based on a trend of a company or industry and calculating a portfolio. It is intended to provide a device.
[0010]
[Means for Solving the Problems]
In order to solve the above-mentioned problem and achieve the object, a portfolio calculation program according to the invention of claim 1 is a portfolio calculation program for calculating a portfolio indicating an optimal investment ratio for stock certificates of a plurality of companies. An expected profit calculating step of calculating an expected profit when investing in the company based on market data indicating the trading status of the company's stock certificate and / or company data indicating the business state of the company for each of the companies; A computer that executes a portfolio calculation step of calculating a portfolio showing an optimal investment ratio for the plurality of companies based on the expected profit calculated by the expected profit calculation step.
[0011]
According to the first aspect of the present invention, the portfolio calculation program is configured to calculate the expected profit when investing in the company based on the market data indicating the trading status of the stock certificate of the company and / or the company data indicating the business condition of the company. Is calculated, and a portfolio showing an optimal investment ratio for the plurality of companies is calculated based on the calculated expected profit.
[0012]
According to a second aspect of the present invention, in the portfolio calculation program according to the first aspect of the present invention, the expected profit calculating step includes: a change in sales, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, At least one of the capital ratios is used as the company data.
[0013]
According to the invention of claim 2, the portfolio calculation program uses at least one of a change in sales of the company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, and a capital ratio to the company. The expected profit when investing in is calculated, and the portfolio is calculated based on the calculated expected profit.
[0014]
According to a third aspect of the present invention, the portfolio calculation program according to the first or second aspect, wherein the expected profit calculating step includes the step of calculating a ratio between a profit and a stock price of the company, a ratio between an asset and a stock price, and a total of the stock prices traded. And at least one of the stock price transition states is used as the market data.
[0015]
According to the third aspect of the present invention, the portfolio calculation program uses at least one of a ratio of a company's earnings to a stock price, a ratio of an asset to a stock price, a total value of a traded stock price, and a status of a stock price transition. The expected profit when investing in the company is calculated, and the portfolio is calculated based on the calculated expected profit.
[0016]
According to a fourth aspect of the present invention, in the portfolio calculation program according to the first, second or third aspect, the portfolio calculation step sets a relationship between the value of the expected profit and a fluctuation rate of the expected profit as an effective frontier curve. As shown in the drawing, when a point on the effective frontier curve is designated, a portfolio corresponding to the designated point is output.
[0017]
According to the invention of claim 4, the portfolio calculation program selects a portfolio by designating a point on the effective frontier indicating the relationship between the value of the expected profit and the fluctuation rate of the expected profit.
[0018]
A portfolio calculation method according to a fifth aspect of the present invention is a portfolio calculation method for calculating a portfolio showing an optimal investment ratio for a plurality of companies' stock certificates, wherein each of the plurality of companies trades the company's stock certificates. An expected profit calculating step of calculating an expected profit when investing in the company based on market data indicating a situation and / or company data indicating a business state of the company; and an expected profit calculated by the expected profit calculating step. A portfolio calculation step of calculating a portfolio showing an optimal investment ratio for the plurality of companies.
[0019]
According to the invention of claim 5, the portfolio calculation method is characterized in that the expected profit when investing in the company based on the market data indicating the trading status of the stock certificate of the company and / or the company data indicating the business condition of the company. Is calculated, and a portfolio showing an optimal investment ratio for the plurality of companies is calculated based on the calculated expected profit.
[0020]
Further, in the portfolio calculation method according to the invention of claim 6, in the invention of claim 5, the expected profit calculation step includes: a change in sales of the company, an asset amount, a rate of return on the asset amount, a change in ordinary profit, At least one of the capital ratios is used as the company data.
[0021]
According to the invention of claim 6, the portfolio calculation method uses at least one of a change in sales of a company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, and a capital ratio to the company. The expected profit when investing in is calculated, and the portfolio is calculated based on the calculated expected profit.
[0022]
In a portfolio calculation method according to a seventh aspect of the present invention, in the invention of the fifth or sixth aspect, the expected profit calculation step includes the step of calculating a ratio of a profit to a stock price, a ratio of an asset to a stock price, and a ratio of a stock price traded. At least one of the total amount and the transition status of the stock price is used as the market data.
[0023]
According to the invention of claim 7, the portfolio calculation method uses at least one of a ratio of a company's profit to a stock price, a ratio of an asset to a stock price, a total value of a traded stock price, and a transition status of a stock price. The expected profit when investing in the company is calculated, and the portfolio is calculated based on the calculated expected profit.
[0024]
In a portfolio calculation method according to an eighth aspect of the present invention, in the invention of the fifth, sixth or seventh aspect, the portfolio calculation step uses the relationship between the value of the expected profit and the fluctuation rate of the expected profit as an effective frontier curve. As shown in the drawing, when a point on the effective frontier curve is designated, a portfolio corresponding to the designated point is output.
[0025]
According to the invention of claim 8, in the portfolio calculation method, the portfolio is selected by designating a point on the effective frontier indicating the relationship between the expected profit value and the fluctuation rate of the expected profit.
[0026]
A portfolio calculation device according to a ninth aspect of the present invention is a portfolio calculation device for calculating a portfolio showing an optimal investment ratio for a plurality of companies' stock certificates, wherein each of the plurality of companies trades the company's stock certificates. An expected profit calculating means for calculating an expected profit when investing in the company based on market data indicating a situation and / or company data indicating a business state of the company; and an expected profit calculated by the expected profit calculating means. A portfolio calculation unit for calculating a portfolio showing an optimal investment ratio for the plurality of companies.
[0027]
According to the ninth aspect of the present invention, the portfolio calculation device provides the expected profit when investing in the company based on the market data indicating the trading status of the stock certificate of the company and / or the company data indicating the business condition of the company. Is calculated, and a portfolio showing an optimal investment ratio for the plurality of companies is calculated based on the calculated expected profit.
[0028]
Further, in the portfolio calculation device according to a tenth aspect of the present invention, in the invention of the ninth aspect, the expected profit calculation means includes a change in sales of the company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, At least one of the capital ratios is used as the company data.
[0029]
According to the tenth aspect of the present invention, the portfolio calculation device uses at least one of a change in sales of the company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, and a capital ratio to the company. The expected profit when investing in is calculated, and the portfolio is calculated based on the calculated expected profit.
[0030]
The portfolio calculation device according to the invention of claim 11 is the invention according to claim 9 or 10, wherein the expected profit calculation means is configured to calculate a ratio between a profit and a stock price, a ratio between an asset and a stock price, and a ratio between the traded stock price and the stock price. At least one of the total amount and the transition status of the stock price is used as the market data.
[0031]
According to the eleventh aspect of the present invention, the portfolio calculation device uses at least one of a ratio of a company's profit to a stock price, a ratio of an asset to a stock price, a total value of a traded stock price, and a transition state of the stock price. The expected profit when investing in the company is calculated, and the portfolio is calculated based on the calculated expected profit.
[0032]
According to a twelfth aspect of the present invention, in the ninth, tenth, or eleventh aspect, the portfolio calculation unit sets the relationship between the value of the expected profit and the fluctuation rate of the expected profit as an effective frontier curve. As shown in the drawing, when a point on the effective frontier curve is designated, a portfolio corresponding to the designated point is output.
[0033]
According to the twelfth aspect of the invention, the portfolio calculation device selects a portfolio by designating a point on the effective frontier indicating a relationship between the value of the expected profit and the rate of change of the expected profit.
[0034]
BEST MODE FOR CARRYING OUT THE INVENTION
Hereinafter, preferred embodiments of a portfolio calculation program, a portfolio calculation method, and a portfolio calculation device according to the present invention will be described in detail with reference to the accompanying drawings. In the present embodiment, a case is shown in which the present invention is applied to a portfolio calculation system that operates on WWW (World Wide Web), which is one of distributed systems on the Internet.
[0035]
First, the configuration of the portfolio calculation system according to the present embodiment will be described. FIG. 1 is a functional block diagram showing the configuration of the portfolio calculation system according to the present embodiment. As shown in the figure, the portfolio calculation system has a configuration in which each of the terminal devices 10a to 10c and the WEB server 12 are connected via the Internet 11.
[0036]
Each of the terminal devices 10a to 10c is an Internet terminal equipped with a WEB browser that can access an HTTP server, and can access various server devices on the Internet via a provider or the like.
[0037]
The WEB server 12 is an apparatus according to the present invention, and is an HTTP server that receives access from various terminal devices 10a to 10c on the Internet and provides a web service such as a homepage. The WEB server 12 not only provides a general web service, but also provides a portfolio showing an optimal investment ratio for the specified brand when a predetermined stock brand and an investment amount are specified. Specifically, the WEB server 12 does not simply calculate the portfolio using the actual returns as in the prior art, but automatically calculates the expected return for the specified brand and calculates the calculated expected return. By calculating a portfolio based on the above, a portfolio that reflects the trends of companies and industries is calculated.
[0038]
As shown in FIG. 1, the web server 12 includes an interface unit 120, an input unit 121, a display unit 122, a storage unit 123, and a control unit 124. The interface unit 120 is a network interface for exchanging data with the terminal devices 10a to 10c via the Internet 11, and specifically performs a process according to the TCP / IP protocol.
[0039]
The input unit 121 is an input device such as a keyboard and a mouse, the display unit 122 is a display device such as a liquid crystal panel and a display, and the storage unit 123 is a storage device such as a hard disk device. The storage unit 12 stores a hypertext 123a, risk data 123b, company data 123c, and market data.
[0040]
The hypertext 123a is a hypertext that forms a window screen to be distributed to the terminal devices 10a to 10c, and the risk data 123b is data that continuously accumulates risk actual values at stock prices of various stock brands. The company data 123c is data indicating various data indicating the business state of the company, and the market data 123d is data indicating the transaction status of the company's stock certificates. The risk data 123b, the company data 123c, and the market data 123d are updated by sequentially acquiring stock data at predetermined time intervals from a server (not shown).
[0041]
The control unit 124 is a control unit that controls the WEB server 12 as a whole, and includes a server processing unit 124a, a predicted return calculation unit 124b, an effective frontier calculation unit 124c, and a portfolio calculation unit 124d.
[0042]
The server processing unit 124a is a processing unit for providing a function as an HTTP server to the terminal devices 10a to 10c, and specifically, a storage unit when an access from the terminal devices 10a to 10c is received. The processing of reading out the hypertext 123a stored in 123 and transmitting it to the corresponding terminal devices 10a to 10c is performed.
[0043]
The process of calculating the expected return, when the brand of the stock certificate is designated, calculates the expected profit when each brand is purchased based on the company data 123c and the market data 123d stored in the storage unit 123, as the predicted return. Department. Further, the effective frontier calculation unit 124c calculates an effective frontier curve of the designated brand using the predicted return calculated by the predicted return calculation unit 124b and the risk data 123b.
[0044]
The risk data 123b stores the results of return variance for each issue and the results of covariance between issues. Further, the effective frontier curve is a curve showing a risk that is minimum for each return in a specified combination of brands. In other words, it indicates the maximum return that can be expected if a certain risk is allowed. Therefore, by adopting a portfolio located on this effective frontier curve, the most efficient portfolio can be obtained. The effective frontier calculation unit 124c transmits the calculated portfolio to the terminal devices 10a to 10c.
[0045]
When a point on the effective frontier curve is designated by the terminal devices 10a to 10c, the portfolio calculation unit 124d calculates a portfolio corresponding to the designated point and returns the portfolio to the terminal devices 10a to 10c. Therefore, the investor can specify any return or any risk from the efficient portfolio shown as the effective frontier curve, and obtain an optimal portfolio.
[0046]
Next, the calculation of the predicted return by the predicted return calculation unit 124b will be further described. FIG. 2 is a diagram for explaining the concept of the predicted return calculation according to the present embodiment. As shown in FIG. 2, the company data 123c includes, for each company, “average sales growth rate”, “market capitalization”, “return on net assets”, “expected change in ordinary income this term”, “equity ratio”, It has the “relative position of capital ratio within the industry”.
[0047]
Here, the “average sales growth rate” is an average rate of change in sales of the company in a predetermined period. This “average sales growth rate” can be calculated, for example, by acquiring sales for three years of the company from a database (not shown). "Market capitalization" is the total amount of assets of the company. Further, “return on net assets” is the ratio of net income to the amount of assets of the company, and “rate of change in expected ordinary profit for the current term” is the change in the expected amount of ordinary profit for the current term of the company. The “capital adequacy ratio” is the ratio of the capital adequacy to the capital of the company. “The relative position of the capital adequacy within the industry” is the height of the capital adequacy of the company in the industry to which the company belongs. This is the ranking.
[0048]
Similarly, the market data 123d includes "price-to-earnings ratio", "stock price-to-book value ratio", "average trading value", "deviation rate from 75-day average", "deviation rate from 25-day average", " Relative position of stock price and stock moving average "," chart signal "," balance of credit balance "," shape of candlestick chart "," stock price volatility "," historical beta ".
[0049]
Here, the “price earnings ratio” is the ratio between the current stock price and earnings of the company. The “price-to-book value ratio” is the ratio between the current stock price of the company and the net asset value of the company. Further, the “average trading value” is the total value of the company's stock certificates traded per day, and is an indicator of the trading status of the company's stock certificates and the size of the company. The “deviation rate from the 75-day average of the stock price” and the “deviation rate from the 25-day average” indicate how far the current stock price of the company is from the 75-day average and the 25-day average of the stock price. This is an index that measures the short-term overheating of the current stock price.
[0050]
Further, “Relative position between stock price and stock price moving average” is a comparison between the change in the stock price of the company and the change in the stock price of the entire stock market. The “chart signal” is data indicating the occurrence status of various signals called a golden cross or the like in a stock price chart, and the “shape candlestick chart shape” is a candlestick called a “shadow shadow line” or the like. This is data indicating the chart shape. Furthermore, "balance of credit balance" is the ratio of unpaid buy balance and sell balance in margin trading, and "stock price volatility" is the value obtained by reversely calculating the degree of fluctuation of the stock price using the theoretical formula from the transaction price of the stock certificate. , “Historical beta” is a value obtained by calculating the sensitivity of the company's stock price to the stock price index.
[0051]
From the company data 123c and the market data 123d, the predicted return calculation unit 124b calculates a growth score 21, a cheapness score 22, a company size score 23, a financial content score 24, a technical score 25, a sharp price change score 26, and a past return score 27. Is calculated for each issue to be included in the portfolio.
[0052]
Specifically, the growth score 21 is obtained by first standardizing the “average sales growth rate”, the “return on net assets”, and the “change rate of expected ordinary income” included in the company data 123c into a standard deviation score, Add them together. Next, the issues are sorted in the order of the total score, which is the total, and the value of the growth potential score 21 is determined according to the ranking. For example, if the value of the growth score 21 is set to 10 levels of “1” to “10” and “10” indicates the highest growth, the issues are classified into 1/10 from the top in the sort order, and the top "10" is assigned to the brands included in the next category, and "9" is allocated to the brands included in the next category.
[0053]
In addition, the cheapness score 22 is calculated using the “price-earnings ratio”, the “price-to-book value ratio”, and the “deviation rate from the 75-day average line” included in the market data 123d. The procedure for this calculation is the same as the growth score 21. Further, the company size score 23 is calculated using “market capitalization” included in the company data 123c and “average trading value” included in the market data 123d.
[0054]
Similarly, the financial content score 24 is calculated based on the “equity ratio” and the “relative position of the equity ratio in the industry” included in the company data 123c. Further, the technical score 25 is calculated based on “relative position of stock price and stock price moving average”, “chart signal”, “balance of remaining credit”, and “stock price candlestick chart shape” included in market data 123d. Further, the price fluctuation intensity score 26 is calculated based on “stock price volatility” and “historical beta” included in the market data 123d, and the past return score 27 is calculated based on the “deviation rate from the stock price 75-day average line” included in the market data 123d. And the "deviation rate from the stock price 25-day average line".
[0055]
Note that the method of calculating the company size score 23, the financial content score 24, the price movement intensity score 26, and the past return score 27 is the same as the growth score 21. After calculating each score in this way, the predicted return calculation unit 124b calculates the composite score by adding the scores. As the composite score, all seven scores may be added, or an arbitrary combination may be selected and added.
[0056]
After calculating the composite score for each issue, the predicted return calculation unit 123b assigns the maximum predicted return to the issue having the maximum composite score value and the minimum predicted return to the issue having the minimum composite score value. Here, the maximum predicted return and the minimum predicted return are set to the maximum value and the minimum value that can be expected as return values, respectively.
[0057]
Further, the predicted return calculation unit 123b sets the value of the predicted return of each brand in proportion to the value of the composite score of the brand. That is, the value of the expected return 30 of each brand is appropriately distributed between the maximum expected return and the minimum expected return. The distribution of the predicted returns is calculated based on the company data 123c and the market data 123d, respectively, so that the predicted returns of each brand can be set in accordance with the trends of companies and industries.
[0058]
Next, the effective frontier curve calculated by the effective frontier calculation unit 124c will be described. FIG. 3 is a diagram illustrating the effective frontier curve 41 calculated by the effective frontier curve calculation unit 124c. In FIG. 3, the effective frontier curve 41 is a curve indicating a risk that is minimum for each return among combinations of the issue A, the issue B, the issue C, the issue D, and the issue E. When calculating the effective frontier curve 41, the effective frontier calculation unit 124c uses the value of the predicted return calculated by the predicted return calculation unit 124b as the return of the brands A to E. Further, the effective frontier calculation unit 124c acquires and uses the risk values of the issues A to E from the risk data 123b.
[0059]
Therefore, in FIG. 3, in the coordinates 31 indicating the risk and the return of “brand A”, the risk is a value stored in the risk data 123b, and the return is a predicted return calculated by the predicted return calculation unit 124b. In the coordinates 32 indicating the risk and the return of “brand B”, the risk is a value stored in the risk data 123b, and the return is a predicted return calculated by the predicted return calculating unit 124b. Similarly, in the coordinates 33 to 35 indicating the risks and returns of “brand C” to “brand E”, each risk is a value stored in the risk data 123b, and the return is calculated by the predicted return calculating unit 124b. The expected return.
[0060]
This effective frontier curve 41 is transmitted to the terminal devices 10a to 10c, and when a point on the effective frontier curve is designated, the portfolio calculation unit 124d calculates a portfolio corresponding to the designated point, and calculates the portfolio corresponding to the designated point. Return to 10c. Therefore, an investor can obtain an effective frontier curve that takes into account corporate and industry trends simply by specifying the stocks to be included in the portfolio, and from this effective frontier curve, designates any return or any risk and optimizes it. You can get a good portfolio.
[0061]
Next, the processing procedure of the WEB server 12 will be described with reference to FIG. FIG. 4 is a flowchart illustrating a processing procedure of the web server 12. In FIG. 4, the WEB server 12 first selects a brand name of a stock certificate to be incorporated in a portfolio by inputting from the terminal devices 10a to 10c (step S101). Next, the predicted return calculation unit 124b sets the first one of the selected brands as a processing target (step S102).
[0062]
Subsequently, the predicted return calculation unit 124b calculates the growth score of the brand to be processed (Step S103). Further, the predicted return calculation unit 124b calculates the cheapness score of the brand to be processed (Step S104). Next, the predicted return calculation unit 124b calculates the company size score of the brand to be processed (Step S105). Further, the predicted return calculation unit 124b calculates the financial content score of the brand to be processed (Step S106). Next, the predicted return calculation unit 124b calculates the technical score of the brand to be processed (Step S107). Subsequently, the predicted return calculation unit 124b calculates the price movement intensity score of the brand to be processed (Step S108). Further, the predicted return calculation unit 124b calculates the past return score of the brand to be processed (Step S109).
[0063]
Thereafter, the predicted return calculation unit 124b calculates the composite score by summing the scores calculated in steps S103 to S109 (step S110). Here, the predicted return calculation unit 124b determines whether or not composite scores have been calculated for all brands (Step S111). When there is a brand for which the composite score has not been calculated yet (step S111, No), the predicted return calculation unit 124b sets the next brand as a processing target (step S112), and proceeds to step S103.
[0064]
On the other hand, when the composite scores have been calculated for all the issues (Step S111, Yes), the predicted return calculating unit 124b calculates the predicted returns of the respective issues based on the composite scores of the respective issues (Step S113).
[0065]
Thereafter, the effective frontier calculation unit 124c reads the risk of each brand from the risk data 123b (step S114), and calculates the effective frontier using the read risk and the predicted return calculated by the predicted return calculation unit 124b (step S115). ). The calculated effective frontier is displayed as an effective frontier curve in the terminal devices 10a to 10c. Portfolio calculation section 124d detects the position designation on the effective frontier curve, outputs the portfolio corresponding to the designated position (step S116), and ends the process.
[0066]
Next, an example of the portfolio calculation window provided by the web server 12 shown in FIG. 1 will be described. FIG. 5 is a diagram showing a display screen as an example of the portfolio calculation window provided by the web server 12 shown in FIG. As shown in the figure, the display screen 60 includes a total investment amount input column 61 for inputting the total investment amount, investment destination selection columns 62 to 64 for selecting a company to be incorporated in the portfolio, and a graph display column 65 for displaying an effective frontier. Have. Here, the investee selection columns 62 to 64 are of a format for selecting a company to be invested by a pull-down list, and “Company A” is selected by the investee selection column 62, and “Company C” is selected by the investee selection column 63 Is selected, and “Company D” is selected in the investment destination selection column 64.
[0067]
Based on the input of the investment destination in the investment destination selection columns 62 to 64, the predicted return calculation unit 124b calculates the predicted returns of “company A”, “company B”, and “company C”. Further, the effective frontier calculating unit 124c calculates the effective frontiers of “Company A”, “Company B”, and “Company C”.
[0068]
FIG. 6 shows a display example of the predicted return and the effective frontier. In the display screen 70 shown in FIG. 6, predicted return display areas 72 to 74 are provided near the investment destination selection columns 62 to 64 to display the predicted returns of the respective companies, and the effective frontier curve 75 is displayed in the graph display column 65. Is displayed. Here, the predicted return display area 72 corresponds to the investee selection column 62 and displays the predicted return of “Company A”. The predicted return display area 73 corresponds to the investment destination selection column 63 and displays the predicted return of “Company B”. Similarly, the predicted return display area 74 corresponds to the investment destination selection column 64 and displays the predicted return of “Company C”.
[0069]
Further, when a point on the effective frontier curve 75 is specified, the portfolio calculation unit 124d calculates a portfolio corresponding to the specified point. FIG. 7 shows a display example of this portfolio. In the display screen 80 shown in FIG. 7, investment distribution display areas 82 to 84 are provided near the investment destination selection columns 62 to 64, respectively. In the graph display area 65, a marker 85 used for portfolio selection is displayed. Further, the display screen 80 has a total return display area 86 for displaying returns of the entire portfolio and a total risk display area 87 for displaying risks of the entire portfolio.
[0070]
The marker 85 is used to designate a portfolio in the effective frontier curve 75, and the portfolio corresponding to the point designated by the marker 85 is displayed in the investment distribution display areas 82 to 84, the total return 86, and the total risk display area 87. It becomes. Here, when the user can drag the marker 85 along the effective frontier curve 75, the portfolio displayed in the investment distribution display areas 82 to 84, the total return 86, and the total risk display area 87 changes. Therefore, the user can easily select a desired portfolio by dragging the marker 85.
[0071]
The investment distribution display area 82 corresponds to the investment destination selection column 62 and displays the investment amount for “company A” and the ratio of the investment amount for “company A” to the entire investment amount. Further, the investment distribution display area 83 corresponds to the investment destination selection column 63, and displays the investment amount for “company B” and the ratio of the investment amount for “company B” to the entire investment amount. Similarly, the investment distribution display area 84 corresponds to the investment destination selection field 64 and displays the investment amount for “company C” and the ratio of the investment amount for “company C” to the entire investment amount. Further, the overall return display area 86 and the overall risk display area 87 display returns and risks in the entire portfolio specified by the marker 85.
[0072]
As described above, in the present embodiment, when a brand of a stock certificate is specified on the terminal devices 10a to 10c, the predicted return calculation processing unit 124b of the WEB server 12 calculates a predicted return for each brand. Since the effective frontier is calculated using the predicted return, the investor can obtain the effective frontier curve 41 only by designating the stock certificate, and by designating an arbitrary point from the effective frontier curve. A desired portfolio can be obtained.
[0073]
In the present embodiment, the present invention is applied to the case where WWW on the Internet is used. However, the present invention is not limited to this, and is realized by using a standalone computer or using a dedicated network. You can also.
[0074]
Furthermore, in the present embodiment, the case where the risk data 123b, the company data 123c, and the market data 123d are stored in the storage unit 123 has been described. However, the present invention is not limited to this, and each time, via the Internet 11, Risk data 123b, company data 123c, and market data 123d.
[0075]
【The invention's effect】
As described above, according to the invention of claim 1, the portfolio calculation program invests in the company based on the market data indicating the trading status of the stock certificate of the company and / or the company data indicating the business condition of the company. Is calculated, and a portfolio showing the optimal investment ratio for the plurality of companies is calculated based on the calculated expected profit, so that the return is automatically set based on the trends of the companies and the industry. Thus, it is possible to provide a portfolio calculation program capable of calculating a portfolio.
[0076]
Further, according to the invention of claim 2, the portfolio calculation program uses at least one of a change in sales of the company, an amount of assets, a rate of return on the amount of assets, a change in ordinary income, and a capital adequacy ratio. Calculates the expected profit when investing in a company, and calculates the portfolio based on the calculated expected profit. Therefore, a portfolio that can calculate the portfolio by automatically setting the return based on data indicating the trend of the company There is an effect that a calculation program can be provided.
[0077]
According to the invention of claim 3, the portfolio calculation program uses at least one of a ratio of a company's profit to a stock price, a ratio of an asset to a stock price, a total value of traded stock prices, and a transition status of stock prices. Calculates the expected profit when investing in the company and calculates the portfolio based on the calculated expected profit, so the portfolio can be calculated by automatically setting the return based on the data indicating the market trend This has the effect of providing a portfolio calculation program.
[0078]
According to the invention of claim 4, the portfolio calculation program selects a portfolio by designating a point on the effective frontier indicating the relationship between the value of the expected profit and the rate of change of the expected profit. An advantage is provided in that a portfolio calculation program capable of easily selecting a portfolio from the frontier can be provided.
[0079]
According to the fifth aspect of the present invention, the portfolio calculation method includes the steps of: providing an expected value when investing in a company based on market data indicating the trading status of the company's stock certificates and / or company data indicating the business condition of the company. Profit is calculated, and a portfolio showing an optimal investment ratio for the plurality of companies is calculated based on the calculated expected profits. Therefore, a portfolio is calculated by automatically setting a return based on trends in companies and industries. It is possible to provide a possible portfolio calculation method.
[0080]
According to the invention of claim 6, the portfolio calculation method uses at least one of a change in sales of a company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, and a capital ratio. Calculates the expected profit when investing in a company, and calculates the portfolio based on the calculated expected profit. Therefore, a portfolio that can calculate the portfolio by automatically setting the return based on data indicating the trend of the company There is an effect that a calculation method can be provided.
[0081]
Further, according to the invention of claim 7, the portfolio calculation method uses at least one of a ratio of a company's profit to a stock price, a ratio of an asset to a stock price, a total value of a traded stock price, and a stock price transition state. Calculates the expected profit when investing in the company and calculates the portfolio based on the calculated expected profit, so the portfolio can be calculated by automatically setting the return based on the data indicating the market trend There is an effect that a portfolio calculation method can be provided.
[0082]
According to the invention of claim 8, in the portfolio calculation method, the portfolio is selected by designating a point on the effective frontier indicating the relationship between the value of the expected profit and the fluctuation rate of the expected profit. It is possible to provide a portfolio calculation method capable of easily selecting a portfolio from the frontier.
[0083]
According to the ninth aspect of the present invention, the portfolio calculation device may provide an expectation when investing in the company based on the market data indicating the trading status of the stock certificate of the company and / or the company data indicating the business condition of the company. Profit is calculated, and a portfolio showing an optimal investment ratio for the plurality of companies is calculated based on the calculated expected profits. Therefore, a portfolio is calculated by automatically setting a return based on trends in companies and industries. There is an effect that a possible portfolio calculation device can be provided.
[0084]
According to the tenth aspect of the present invention, the portfolio calculation device uses at least one of a change in sales of a company, an amount of assets, a rate of return on the amount of assets, a change in ordinary profit, and a capital ratio. Calculates the expected profit when investing in a company, and calculates the portfolio based on the calculated expected profit. Therefore, a portfolio that can calculate the portfolio by automatically setting the return based on data indicating the trend of the company There is an effect that a calculation device can be provided.
[0085]
Further, according to the invention of claim 11, the portfolio calculation device uses at least one of a ratio of a company's profit to a stock price, a ratio of an asset to a stock price, a total value of a traded stock price, and a transition state of the stock price. Calculates the expected profit when investing in the company and calculates the portfolio based on the calculated expected profit, so the portfolio can be calculated by automatically setting the return based on the data indicating the market trend There is an effect that a portfolio calculation device can be provided.
[0086]
According to the twelfth aspect, the portfolio calculation device selects a portfolio by designating a point on the effective frontier indicating the relationship between the value of the expected profit and the rate of change of the expected profit. There is an effect that a portfolio calculation device capable of easily selecting a portfolio from the frontier can be provided.
[Brief description of the drawings]
FIG. 1 is a functional block diagram showing a configuration of a portfolio calculation system according to the present embodiment.
FIG. 2 is a diagram illustrating the concept of predictive return calculation according to the present embodiment.
FIG. 3 is a diagram showing an effective frontier curve calculated by an effective frontier curve calculator 124c.
FIG. 4 is a flowchart illustrating a processing procedure of the web server illustrated in FIG. 1;
FIG. 5 is a view showing an example of a portfolio calculation window provided by the web server shown in FIG. 1;
FIG. 6 is a diagram showing a display example of a predicted return and an effective frontier.
FIG. 7 is a diagram showing a display example of a portfolio.
[Explanation of symbols]
10a to 10c terminal device
11 Internet
12 WEB server
21 Growth Score
22 Inexpensive score
23 Company Size Score
24 Financial Content Score
25 Technical Score
26 Price Intensity Score
27 Past Return Score
31-35 coordinates
41,75 Effective frontier curve
60, 70, 80 display screen
61 Total investment input field
62-64 Investment destination selection column
65 Graph display field
72-74 Predicted return display area
82-84 Investment allocation display area
85 marker
86 Total return display area
87 Comprehensive risk display area
120 Interface section
121 Input unit
122 Display
123 storage unit
123a Hypertext
123b Risk data
123c Company data
123d market data
124 control unit
124a server processing unit
124b Predicted return calculator
124c Effective Frontier Calculator
124d Portfolio calculator
124e Short selling risk / return calculator

Claims (12)

A portfolio calculation program for calculating a portfolio showing an optimal investment ratio for stock certificates of a plurality of companies,
An expected profit calculating step of calculating an expected profit when investing in the company based on market data indicating the trading status of the stock certificate of the company and / or company data indicating the business state of the company for each of the plurality of companies; When,
A portfolio calculation step of calculating a portfolio showing an optimal investment ratio for the plurality of companies based on the expected profit calculated by the expected profit calculation step. The said expected profit calculation process uses at least one of the change of the sales of the said company, the amount of assets, the rate of return with respect to the amount of assets, the change of ordinary profit, and the equity ratio as said company data. 2. The portfolio calculation program according to 1. The said expected profit calculation step uses at least one of the ratio of the profit and the stock price of the company, the ratio of the asset and the stock price, the total value of the traded stock price, and the transition status of the stock price, as the market data. Item 3. The portfolio calculation program according to item 1 or 2. In the portfolio calculation step, the relationship between the value of the expected profit and the rate of change of the expected profit is illustrated as an effective frontier curve, and when a point on the effective frontier curve is designated, the portfolio corresponds to the designated point The portfolio calculation program according to claim 1, wherein the portfolio calculation program outputs a portfolio. A portfolio calculation method for calculating a portfolio showing an optimal investment ratio for stock certificates of a plurality of companies,
An expected profit calculating step of calculating an expected profit when investing in the company based on market data indicating the trading status of the stock certificate of the company and / or company data indicating the business state of the company for each of the plurality of companies; When,
A portfolio calculation step of calculating a portfolio showing an optimal investment ratio for the plurality of companies based on the expected profit calculated by the expected profit calculation step. The said expected profit calculation process uses at least one of the change of the sales of the said company, the amount of assets, the rate of return with respect to the amount of assets, the change of ordinary profit, and the equity ratio as said company data. 6. The portfolio calculation method according to 5. The said expected profit calculation step uses at least one of the ratio of the profit and the stock price of the company, the ratio of the asset and the stock price, the total value of the traded stock price, and the transition status of the stock price, as the market data. Item 7. The portfolio calculation method according to item 5 or 6. In the portfolio calculation step, the relationship between the value of the expected profit and the rate of change of the expected profit is illustrated as an effective frontier curve, and when a point on the effective frontier curve is designated, the portfolio corresponds to the designated point 8. The portfolio calculation method according to claim 5, wherein the portfolio is output. A portfolio calculation device that calculates a portfolio showing an optimal investment ratio for stock certificates of a plurality of companies,
Expected profit calculating means for calculating expected profit when investing in the company based on market data indicating the trading status of the company's stock certificate and / or company data indicating the business state of the company for each of the plurality of companies When,
A portfolio calculation unit for calculating a portfolio showing an optimal investment ratio for the plurality of companies based on the expected profit calculated by the expected profit calculation unit. The said expected profit calculation means uses at least one of the change of the sales of the said company, the amount of assets, the rate of return with respect to the amount of assets, the change of ordinary profit, and the equity ratio as said company data. 10. The portfolio calculation device according to 9. The said expected profit calculation means uses at least one of the ratio of profit and stock price of the company, the ratio of asset and stock price, the total value of traded stock price, and the transition status of stock price, as the market data. Item 11. The portfolio calculation device according to item 9 or 10. The portfolio calculation means illustrates the relationship between the value of the expected profit and the fluctuation rate of the expected profit as an effective frontier curve, and when a point on the effective frontier curve is designated, the portfolio corresponds to the designated point. The portfolio calculation device according to claim 9, wherein the portfolio calculation device outputs a portfolio.

Images