{"created":"2021-03-01T06:34:02.637426+00:00","id":16766,"links":{},"metadata":{"_buckets":{"deposit":"bcae70a2-d751-473d-be6f-606cbd0cbc80"},"_deposit":{"id":"16766","owners":[],"pid":{"revision_id":0,"type":"depid","value":"16766"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00016766","sets":["62:828:829:834","9:504:831:832:835"]},"item_4_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Optimal Portfolio with Particle Filtering"}]},"item_4_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2017-01-01","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"2","bibliographicPageEnd":"30","bibliographicPageStart":"2","bibliographicVolumeNumber":"81","bibliographic_titles":[{"bibliographic_title":"經濟學論集"}]}]},"item_4_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本稿では，粒子フィルタを活用したポートフォリオ構築の新しい手法を提案する．特に，モンテカルロ・フィルタに基づく資産の期待リターンとボラティリティの推定により，平均分散ポートフォリオのパフォーマンスが飛躍的に向上することを示す．　我々は，状態空間モデルの枠組みにおいて，非対称性を持つボラティリティに加え，期待リターンに関する状態変数も確率過程として取り込むことにより，ボラティリティの時間変化と整合的なリターンを予測する．その結果，一般的な移動平均・分散に基づく平均分散ポートフォリオのみならず，等ウェイト（Equal Weight），最小分散，リスクパリティ（Risk Parity）などのリターン予測に依拠しない手法を凌駕する運用成果が実現可能なことを明らかにする．　また，投資対象としては，国内外の株式・債券に加えリート（REIT）を組み入れ，空売り禁止条項や取引費用，投資比率制約も考慮することで，より現実的な国際分散投資を考察する．さらに，ポートフォリオのパフォーマンス指標として，複利リターンやシャープ・レシオに加え，実務的には重要な指標であるソルティノ・レシオや最大ドローダウンも採用し，多角的に評価することにより，我々の提案する手法の有効性及び頑健性を確認する．","subitem_description_type":"Abstract"},{"subitem_description":"This paper proposes a new method for portfolio constructions with a particle filtering method, which substantially improves performances of mean-variance portfolios through estimation of expected returns and returns’ volatilities based on Monte Carlo filter. In particular, we introduce state variables associated with expected returns as well as asymmetric volatilities in a state space framework and predict asset returns consistent with volatility changes over time. Resulting estimated portfolios outperform not only mean-variance portfolios with moving averages and variances of past returns, but also risk parity, minimum variance, and equally weighted portfolios, which do not depend on predictions of asset returns. Moreover, we construct portfolios with transaction costs, no-short-selling and weight constraints, which possibly include Japanese REIT and U.S. REIT in addition to domestic and international bonds and equities with a riskless asset. Finally, performance evaluation based on compound returns, Sharpe ratios, Sortino ratios and maximum drawdowns confirms the validity of our method.","subitem_description_type":"Abstract"}]},"item_4_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"論文/Article","subitem_description_type":"Other"}]},"item_4_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"26616","nameIdentifierScheme":"WEKO"}],"names":[{"name":"NAKANO, Masafumi"}]},{"nameIdentifiers":[{"nameIdentifier":"26617","nameIdentifierScheme":"WEKO"}],"names":[{"name":"SATO, Seisho"}]},{"nameIdentifiers":[{"nameIdentifier":"26618","nameIdentifierScheme":"WEKO"}],"names":[{"name":"TAKAHASHI, Akihiko"}]},{"nameIdentifiers":[{"nameIdentifier":"26619","nameIdentifierScheme":"WEKO"}],"names":[{"name":"TAKAHASHI, Soichiro"}]}]},"item_4_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.15083/00016757","subitem_identifier_reg_type":"JaLC"}]},"item_4_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"東京大学大学院経済学研究科"}]},"item_4_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00070411","subitem_source_identifier_type":"NCID"}]},"item_4_source_id_8":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0022-9768","subitem_source_identifier_type":"ISSN"}]},"item_4_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, The University of Tokyo"}]},"item_4_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学大学院経済学研究科"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"中野, 雅史"}],"nameIdentifiers":[{"nameIdentifier":"26612","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"佐藤, 整尚"}],"nameIdentifiers":[{"nameIdentifier":"26613","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"高橋, 明彦"}],"nameIdentifiers":[{"nameIdentifier":"26614","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"高橋, 聡一郎"}],"nameIdentifiers":[{"nameIdentifier":"26615","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-06-08"}],"displaytype":"detail","filename":"econ0810202.pdf","filesize":[{"value":"2.4 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"econ0810202.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/16766/files/econ0810202.pdf"},"version_id":"3ebd42ba-32b4-4ce2-84ac-943606fcf741"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"状態空間モデル","subitem_subject_scheme":"Other"},{"subitem_subject":"粒子フィルタ","subitem_subject_scheme":"Other"},{"subitem_subject":"モンテカルロ・フィルタ","subitem_subject_scheme":"Other"},{"subitem_subject":"リターン予測","subitem_subject_scheme":"Other"},{"subitem_subject":"確率的ボラティリティ","subitem_subject_scheme":"Other"},{"subitem_subject":"国際分散投資","subitem_subject_scheme":"Other"},{"subitem_subject":"平均分散ポートフォリオ","subitem_subject_scheme":"Other"},{"subitem_subject":"リスクパリティ","subitem_subject_scheme":"Other"},{"subitem_subject":"取引コスト","subitem_subject_scheme":"Other"},{"subitem_subject":"空売り禁止条項","subitem_subject_scheme":"Other"},{"subitem_subject":"State Space Model","subitem_subject_scheme":"Other"},{"subitem_subject":"Particle Filter","subitem_subject_scheme":"Other"},{"subitem_subject":"Monte Carlo Filter","subitem_subject_scheme":"Other"},{"subitem_subject":"Return Prediction","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic Volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"International Diversification","subitem_subject_scheme":"Other"},{"subitem_subject":"Mean-Variance Portfolio","subitem_subject_scheme":"Other"},{"subitem_subject":"Risk Parity","subitem_subject_scheme":"Other"},{"subitem_subject":"Transaction Cost","subitem_subject_scheme":"Other"},{"subitem_subject":"No-Short-Selling Constraint","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"粒子フィルタを用いた最適ポートフォリオの構築","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"粒子フィルタを用いた最適ポートフォリオの構築"}]},"item_type_id":"4","owner":"1","path":["834","835"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-04-18"},"publish_date":"2017-04-18","publish_status":"0","recid":"16766","relation_version_is_last":true,"title":["粒子フィルタを用いた最適ポートフォリオの構築"],"weko_creator_id":"1","weko_shared_id":2},"updated":"2022-12-19T03:54:28.543465+00:00"}