\`x^2+y_1+z_12^34\`
Advanced Search
Advanced Search
Advanced Search
This issue Previous Article Next Article
Article Contents
Article Contents
2005, Volume 1, Issue 4: 433-442. Doi: 10.3934/jimo.2005.1.433
This issue Previous Article Optimization of the lifetime of capital equipment using integral models Next Article An analysis of staged purchases in deregulated time-sequential electricity markets

Empirical studies on internationally diversified investment using a stock-bond integrated model

  • 1.

    Department of Industrial and Systems Engineering, Chuo University, Tokyo

Received:  January 31, 2005
Revised:  July 31, 2005
Published:  September 2005
Abstract Related Papers Cited by
    Abstract
  • This paper presents the result of extensive computational experiments on an internationally diversified investment model using a large number of individual stocks and bonds in a single stock-bond integrated mean risk framework. This model was proposed by one of the authors in 1997 and was shown to perform better than standard asset allocation strategy when the universe is the set of stocks and bonds of Japan and U.S. In this paper, we extend the universe to over 3500 assets consisting of stocks of 46 countries and bonds of 20 countries and compare the integrated approach with other well used methods. Computational experiments show that the integrated approach is superior to the traditional methods.
    Mathematics Subject Classification: 62P05, 90C05, 90C06, 91B28.

    Citation:
    shu

    \begin{equation} \\ \end{equation}
    • Related Papers
  • Cited by
  • Access History
  • 加载中
PDF
XML
Export Citation
SHARE
Email to a Friend

Article Metrics

HTML views() PDF downloads(79) Cited by(0)

Access History

Other Articles By Authors

Catalog

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return
    Site map Copyright © 2023 American Institute of Mathematical Sciences