JAXA Repository / AIREX 未来へ続く、宙(そら)への英知
title平均分散モデルの特徴と不確実性に関する考察: 数理モデルとMicrosoft Excel活用によるデータ分析
Other TitleCharacteristics and Uncertainties of Mean-Variance Model: Mathematical Modeling and Data Analysis Using Microsoft Excel
Author(jpn)中西, 真悟
Author(eng)Nakanishi, Shingo
Author Affiliation(jpn)大阪工業大学
Author Affiliation(eng)Osaka Institute of Technology
Issue Date2015-01-10
Osaka Institute of Technology
Publication title大阪工業大学紀要
Memoirs of Osaka Institute of Technology
Start page17
End page46
Publication date2015-01-10
AbstractWe focus on mathematical modeling of mean-variance models in modern portfolio theory for finance. First, we can review mathematical modeling and these characteristics of mean-variance models. Second, we can perform data analysis of the top 10 ratings of Sharpe ratios for 20 years from January 1990 to December 2009. These data in the database shown in a paper titled “Development of local database for obtainable data of stock prices from website and its applications of Mean Variance Model and Capital Asset Pricing Model” has about 470,000 stock closing prices downloaded from Yahoo! Finance Japan. At the same time, we can investigate various characteristics and uncertainties of statistics, time series, and comparisons of both arithmetic mean and logarithmic mean. Furthermore, we can consider the relationship of simultaneous distributions based on mean-variance models.
Description形態: カラー図版あり
Physical characteristics: Original contains color illustrations
Keywords平均分散モデル; 最適ポートフォリオ理論; シャープ・レシオ; 資本市場線; 同時分布; 高次統計量; 時系列解析; Excel統計解析; Mean-Variance Model; Optimal Portfolio Theory; Sharpe Ratio; Capital Market Line (CML); Simultaneous Distribution; High-Order Statistics; Time Series Analysis; Excel Statistical Analysis
Document TypeDepartmental Bulletin Paper
NASA Subject CategorySystems Analysis and Operations Research

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