| 摘要 |
<P>PROBLEM TO BE SOLVED: To create a portfolio with a high profit rate. <P>SOLUTION: A transaction zone determination unit 120 and a transaction timing determination unit 130 determine a transaction execution timing of each financial product from time-series price data of a plurality of financial products. An optimal portfolio creation unit 150, when transaction is performed at the determined transaction execution timing, calculates a cumulative period income summary obtained by the transaction of each financial product, calculates an average profitability rate and a standard deviation from a change rate of the cumulative period income summary, calculates a sharp ratio from the average profitability rate and the standard deviation, and calculates a composition ratio of each financial product on the basis of the sharp ratio of each financial product so as to maximize the sharp ratio. <P>COPYRIGHT: (C)2013,JPO&INPIT |
