SIG-FIN-012-02
をテンプレートにして作成
開始行:
[[第12回研究会]]
*収益率分布予測に時系列モデルを用いたポートフォリオ最適化...
**著者 [#n20b0736]
吉住遼, 水野眞治, 高野祐一, 西山昇(東京工業大学大学院社会...
**概要 [#s592e4fe]
In recent years, portfolio optimization with the use of a...
model to estimate future stock returns has been subject o...
optimization model that uses time series models to predic...
the conditional variance-covariance matrix of returns. Mo...
predicted by using the VAR model, and the conditional var...
by using a dynamic conditional correlation (DCC) multivar...
out-of-sample investment performance of our model using h...
**論文 [#w390f4d6]
&ref(SIG-FIN-012-02.pdf);
終了行:
[[第12回研究会]]
*収益率分布予測に時系列モデルを用いたポートフォリオ最適化...
**著者 [#n20b0736]
吉住遼, 水野眞治, 高野祐一, 西山昇(東京工業大学大学院社会...
**概要 [#s592e4fe]
In recent years, portfolio optimization with the use of a...
model to estimate future stock returns has been subject o...
optimization model that uses time series models to predic...
the conditional variance-covariance matrix of returns. Mo...
predicted by using the VAR model, and the conditional var...
by using a dynamic conditional correlation (DCC) multivar...
out-of-sample investment performance of our model using h...
**論文 [#w390f4d6]
&ref(SIG-FIN-012-02.pdf);
ページ名: