APPARATUS FOR DETERMINING OPTIMAL PORTFOLIO

摘要

PROBLEM TO BE SOLVED: To provide an apparatus for effectively determining the financial products of individual stocks and the buying amount thereof so as to maximize the utility functions of investors consisting of profit ratios and risks under given constraints such as risks.

SOLUTION: The apparatus comprises: an individual profit ratio input means 101 for inputting expected values of profit ratios of individual financial products; an individual variable factor input means 102 for inputting individual variable factors which are the variable factors of the profit ratio of a stock itself; a common variable factor input means 103 for inputting common variable factors which are the variable factors of the profit ratios of overall stocks; a constraint parameter input means 104 for inputting constraint parameters; an optimal portfolio finding means 106 for deriving the financial products targeted for buying and the buying amount thereof on the basis of input data; a portfolio-computing means 105 for computing portfolio profit ratios; a constraints evaluation means 107 for determining whether the constraints relating to risks of the derived portfolios are satisfied; and an optimal portfolio output means 108 for outputting the derived results.

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