| 摘要 |
PURPOSE:To calculate an optimum combination of assets to be invested in from expected earning rates (return) by the assets to be invested in, standard deviation (risk), the coefficient of correlation among the objects of investment, and their restriction conditions and to automatically calculate the optimum distribution rate of the assets corresponding to minimum standard deviation (risk) from the expected earning rates. CONSTITUTION:A return/risk file 2 contains the expected earning rates by the assets 1 to be invested in and the standard deviation. A correlation file 3 contains the coefficient of correlation among the assets 1 to be invested in. A restriction condition file 4 stores the restriction conditions. An optimum distribution processing part 5 calculates the distribution rate of the assets which maximizes a return and minimizes a risk from the restriction conditions, a calculation state management part 6 manages the state, and a calculation result management part 7 manages the calculated value. Consequently, the optimum asset distribution rate can automatically be obtained from the expected earing rate. |
