Discussion Papers 2017
CIRJE-F-1038 | "Creating Investment Scheme with State Space Modeling" |
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Author Name | Nakano, Masafumi, Akihiko Takahashi and Soichiro Takahashi |
Date | February 2017 |
Full Paper | |
Remarks | Subsequently published in Expert Systems with Applications, Volume 81, 15 September 2017, Pages 53-66. |
Abstract |
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This paper proposes a unified approach to creating investment strategies with various desirable properties for investors. Particularly, we provide a new interpretation and the resulting formulations for state space models to attain our investment objectives, which are possibly specified as achieving target mean-variance portfolios or Sharpe ratios, and generating alphas (additional returns) over benchmark indexes. |
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