PORTFOLIO COMPOSING SYSTEM, PORTFOLIO COMPOSING METHOD AND RECORDING MEDIUM RECORDING PORTFOLIO COMPOSING PROGRAM

摘要

PROBLEM TO BE SOLVED: To provide a portfolio composing system capable of efficiently composing a portfolio realizing a static hedge position to a particular financial product. SOLUTION: In this portfolio composing system 1, after calculating correlation coefficients between a hedge objective payoff distribution and payoff distributions of each financial product, composition objective financial products are selected on the basis of the correlation coefficients. After calculating allocation rates of the composition objective financial products, the composition objective financial products are allocated at the allocation rates. Consequently, common financial products judged to have high similarity on the basis of the correlation coefficients are selected and the common financial products are allocated in a portfolio at proper allocation rates.