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A Note on Performance Result of Portfolio Strategy With Market Participants' View
https://uec.repo.nii.ac.jp/records/6817
https://uec.repo.nii.ac.jp/records/68179555758d-d158-4e6a-82a5-ce60421c8e0a
名前 / ファイル | ライセンス | アクション |
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9000000182.pdf (2.7 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-02-17 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | A Note on Performance Result of Portfolio Strategy With Market Participants' View | |||||
言語 | ||||||
言語 | eng | |||||
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 |
Miyazaki, Koichi
× Miyazaki, Koichi |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The market participants' view is often quite useful for model based portfolio strategy. This article proposes how to make use of the view in coustructing portfolio strategy. The strategy is to invest money in the market when the reliability of the view derived based on Logit model and Probit model exceeds the pre-determined level. Our strategy is quite effective in the equity and the FX market, while miserable in the bond market. The reason of the unsatisfactory result of the bond market is that the market participants' view is extremely strong market follower and it cannot predict large sells-off in the market. And the performance result of the portfolio strategy is well justified by our previous research on the view. | |||||
書誌情報 |
ja : 電気通信大学紀要 巻 16, 号 1, p. 31-36, 発行日 2003-07-31 |
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出版者 | ||||||
出版者 | 電気通信大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0915-0935 | |||||
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 |