@article{oai:uec.repo.nii.ac.jp:00006817,
 author = {Miyazaki, Koichi},
 issue = {1},
 journal = {電気通信大学紀要},
 month = {Jul},
 note = {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.},
 pages = {31--36},
 title = {A Note on Performance Result of Portfolio Strategy With Market Participants' View},
 volume = {16},
 year = {2003}
}