JPH0377163A - Risk minimized portfolio selection device using mutually coupled network - Google Patents

Risk minimized portfolio selection device using mutually coupled network

Info

Publication number
JPH0377163A
JPH0377163A JP21395389A JP21395389A JPH0377163A JP H0377163 A JPH0377163 A JP H0377163A JP 21395389 A JP21395389 A JP 21395389A JP 21395389 A JP21395389 A JP 21395389A JP H0377163 A JPH0377163 A JP H0377163A
Authority
JP
Japan
Prior art keywords
value
mutually coupled
minimized
total
coupled network
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Pending
Application number
JP21395389A
Inventor
Satoshi Hamaya
Hiroyuki Izumi
Hideki Sato
Junji Seki
Machiko Ukaji
Original Assignee
Fujitsu Ltd
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Fujitsu Ltd filed Critical Fujitsu Ltd
Priority to JP21395389A priority Critical patent/JPH0377163A/en
Publication of JPH0377163A publication Critical patent/JPH0377163A/en
Application status is Pending legal-status Critical

Links

Abstract

PURPOSE: To obtain an optimum fund distribution ratio to each brand so as to maximize the total return and also minimize the total risk by using a problem that minimizes the energy function of a mutually coupled network.
CONSTITUTION: The fund distribution ratios are set opposite to each other among plural brands in terms of the value 13 of each node of a mutually coupled network. A link weight setting means 6 sets each link weight value 12 so that the total return and the total risk are automatically maximized and minimized respectively and at the same time the limit conditions are satisfied when the energy function value of the network is minimized. Under such conditions, a node value updating means 7 obtains an optimum fund distribution ratio 14 as the value 13 with the minimum energy function. Thus it is possible to obtain the ratio 14 to each brans so as to maximize the total return and to minimize the total risk respectively.
COPYRIGHT: (C)1991,JPO&Japio
JP21395389A 1989-08-19 1989-08-19 Risk minimized portfolio selection device using mutually coupled network Pending JPH0377163A (en)

Priority Applications (1)

Application Number Priority Date Filing Date Title
JP21395389A JPH0377163A (en) 1989-08-19 1989-08-19 Risk minimized portfolio selection device using mutually coupled network

Applications Claiming Priority (1)

Application Number Priority Date Filing Date Title
JP21395389A JPH0377163A (en) 1989-08-19 1989-08-19 Risk minimized portfolio selection device using mutually coupled network

Publications (1)

Publication Number Publication Date
JPH0377163A true JPH0377163A (en) 1991-04-02

Family

ID=16647789

Family Applications (1)

Application Number Title Priority Date Filing Date
JP21395389A Pending JPH0377163A (en) 1989-08-19 1989-08-19 Risk minimized portfolio selection device using mutually coupled network

Country Status (1)

Country Link
JP (1) JPH0377163A (en)

Cited By (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
EP0686926A3 (en) * 1994-05-24 1996-06-12 Ron S Dembo Method and apparatus for optimal portfolio replication
US6278981B1 (en) 1997-05-29 2001-08-21 Algorithmics International Corporation Computer-implemented method and apparatus for portfolio compression
US7395236B2 (en) 1999-06-03 2008-07-01 Algorithmics Software Llc Risk management system and method providing rule-based evolution of a portfolio of instruments

Citations (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JPH01161574A (en) * 1987-12-18 1989-06-26 Hitachi Ltd System for monitoring state of real time
JPH02168350A (en) * 1988-09-19 1990-06-28 Hitachi Ltd Time serial data group optimum combination method and system to use it

Patent Citations (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
JPH01161574A (en) * 1987-12-18 1989-06-26 Hitachi Ltd System for monitoring state of real time
JPH02168350A (en) * 1988-09-19 1990-06-28 Hitachi Ltd Time serial data group optimum combination method and system to use it

Cited By (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
EP0686926A3 (en) * 1994-05-24 1996-06-12 Ron S Dembo Method and apparatus for optimal portfolio replication
US6278981B1 (en) 1997-05-29 2001-08-21 Algorithmics International Corporation Computer-implemented method and apparatus for portfolio compression
US7395236B2 (en) 1999-06-03 2008-07-01 Algorithmics Software Llc Risk management system and method providing rule-based evolution of a portfolio of instruments

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