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階層的リスクパリティ―理想的なポートフォリオ構築への道―
https://chuo-u.repo.nii.ac.jp/records/11991
https://chuo-u.repo.nii.ac.jp/records/11991e89890f2-91d0-468f-948a-fc1c94b65174
名前 / ファイル | ライセンス | アクション |
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本文を見る (3.2 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2020-02-22 | |||||
タイトル | ||||||
タイトル | 階層的リスクパリティ―理想的なポートフォリオ構築への道― | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Heirachical Risk Parity Strategy: Towards an Ideal Portfolio Construction Method | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 機械学習 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | クラスター | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | リスクパリティ | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | ポートフォリオ最適化 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 量子コンピュータ | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Machine Learning | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | cluster | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | risk parity | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | portfolio optimization | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Quantum Computer | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
森谷, 博之
× 森谷, 博之 |
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著者別名(英) | ||||||
姓名 | MORIYA, Hiroyuki | |||||
言語 | en | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Strong computation power and the age of big data have enabled us to apply artificial intelligence, machine learning and genetic algorithms to financial markets. In the 1950’s, Harry Markowitz invented the portfolio optimization technique that changed the concept of investment opportunities from highest return, ignoring risk, to the balance between risk and rewards. However, this innovative idea has presented many obstacles. But, over the years innovative people have been inventing mathematical solutions for these various constraints. Even though this has been challenging historically, practitioners prefer the simple heuristic methods based on their experience due to difficulty to estimate expected returns and volatility. Finally, new solution is developed and called a Risk Parity policy and enhanced version, Hierarchical Risk Parity introduced by de Prado in 2016. This paper first introduces the history of Modern Portfolio Theory and Risk Parity portfolio and then explains how to develop hierarchical risk parity. In conclusion, a hedge fund portfolio is constructed by using hierarchical risk parity to compare the results with those of an equally weighted portfolio and a minimum variance portfolio. |
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書誌情報 |
企業研究 巻 34, p. 77-105, 発行日 2019-02-28 |
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出版者 | ||||||
出版者 | 中央大学企業研究所 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 1347-9938 | |||||
権利 | ||||||
権利情報 | この資料の著作権は、資料の著作者または学校法人中央大学に帰属します。著作権法が定める私的利用・引用を超える使用を希望される場合には、掲載誌発行部局へお問い合わせください。 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |