American Institute of Mathematical Sciences

Advanced
October  2005, 1(4): 433-442. doi: 10.3934/jimo.2005.1.433

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

Shusuke Komuro 1, and  Hiroshi Konno 1,

1. 

Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan, Japan

Received  February 2005 Revised  August 2005 Published  October 2005

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.
Keywords: Internationally diversified investment, stock-bond integrated model, asset allocation., mean-absolute deviation model.
Mathematics Subject Classification: 62P05, 90C05, 90C06, 91B2.
Citation: Shusuke Komuro, Hiroshi Konno. Empirical studies on internationally diversified investment using a stock-bond integrated model. Journal of Industrial & Management Optimization, 2005, 1 (4) : 433-442. doi: 10.3934/jimo.2005.1.433
[1]

Zhifeng Dai, Huan Zhu, Fenghua Wen. Two nonparametric approaches to mean absolute deviation portfolio selection model. Journal of Industrial & Management Optimization, 2020, 16 (5) : 2283-2303. doi: 10.3934/jimo.2019054
[2]

Peng Zhang. Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints. Journal of Industrial & Management Optimization, 2017, 13 (3) : 1169-1187. doi: 10.3934/jimo.2016067
[3]

Editorial Office. RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection. Journal of Industrial & Management Optimization, 2019, 15 (2) : 537-564. doi: 10.3934/jimo.2018056
[4]

Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial & Management Optimization, 2016, 12 (1) : 187-209. doi: 10.3934/jimo.2016.12.187
[5]

Miao Tian, Xiangfeng Yang, Yi Zhang. Lookback option pricing problem of mean-reverting stock model in uncertain environment. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020090
[6]

Zhimin Liu, Shaojian Qu, Hassan Raza, Zhong Wu, Deqiang Qu, Jianhui Du. Two-stage mean-risk stochastic mixed integer optimization model for location-allocation problems under uncertain environment. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020094
[7]

Sedighe Asghariniya, Hamed Zhiani Rezai, Saeid Mehrabian. Resource allocation: A common set of weights model. Numerical Algebra, Control & Optimization, 2020, 10 (3) : 257-273. doi: 10.3934/naco.2020001
[8]

Francesca Biagini, Jacopo Mancin. Financial asset price bubbles under model uncertainty. Probability, Uncertainty and Quantitative Risk, 2017, 2 (0) : 14-. doi: 10.1186/s41546-017-0026-3
[9]

Michael Grinfeld, Harbir Lamba, Rod Cross. A mesoscopic stock market model with hysteretic agents. Discrete & Continuous Dynamical Systems - B, 2013, 18 (2) : 403-415. doi: 10.3934/dcdsb.2013.18.403
[10]

Cuilian You, Le Bo. Option pricing formulas for generalized fuzzy stock model. Journal of Industrial & Management Optimization, 2020, 16 (1) : 387-396. doi: 10.3934/jimo.2018158
[11]

Zuo Quan Xu, Fahuai Yi. An optimal consumption-investment model with constraint on consumption. Mathematical Control & Related Fields, 2016, 6 (3) : 517-534. doi: 10.3934/mcrf.2016014
[12]

Kjartan G. Magnússon, Sven Th. Sigurdsson, Petro Babak, Stefán F. Gudmundsson, Eva Hlín Dereksdóttir. A continuous density Kolmogorov type model for a migrating fish stock. Discrete & Continuous Dynamical Systems - B, 2004, 4 (3) : 695-704. doi: 10.3934/dcdsb.2004.4.695
[13]

Xin Zhou, Liangping Shi, Bingzhi Huang. Integrated inventory model with stochastic lead time and controllable variability for milk runs. Journal of Industrial & Management Optimization, 2012, 8 (3) : 657-672. doi: 10.3934/jimo.2012.8.657
[14]

Hoi Tin Kong, Qing Zhang. An optimal trading rule of a mean-reverting asset. Discrete & Continuous Dynamical Systems - B, 2010, 14 (4) : 1403-1417. doi: 10.3934/dcdsb.2010.14.1403
[15]

Yanqing Liu, Jiyuan Tao, Huan Zhang, Xianchao Xiu, Lingchen Kong. Fused LASSO penalized least absolute deviation estimator for high dimensional linear regression. Numerical Algebra, Control & Optimization, 2018, 8 (1) : 97-117. doi: 10.3934/naco.2018006
[16]

Cheng-Kang Chen, Yi-Xiang Liao. A deteriorating inventory model for an intermediary firm under return on inventory investment maximization. Journal of Industrial & Management Optimization, 2014, 10 (4) : 989-1000. doi: 10.3934/jimo.2014.10.989
[17]

Zhenzhen Wang, Zhenghui Li, Shuanglian Chen, Zhehao Huang. Explicit investment setting in a Kaldor macroeconomic model with macro shock. Discrete & Continuous Dynamical Systems - S, 2020, 13 (8) : 2327-2346. doi: 10.3934/dcdss.2020093
[18]

Lishang Jiang, Baojun Bian. The regularized implied local volatility equations -A new model to recover the volatility of underlying asset from observed market option price. Discrete & Continuous Dynamical Systems - B, 2012, 17 (6) : 2017-2046. doi: 10.3934/dcdsb.2012.17.2017
[19]

Weihua Liu, Xinran Shen, Di Wang, Jingkun Wang. Order allocation model in logistics service supply chain with demand updating and inequity aversion: A perspective of two option contracts comparison. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020118
[20]

Yang Shen, Tak Kuen Siu. Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Journal of Industrial & Management Optimization, 2017, 13 (1) : 23-46. doi: 10.3934/jimo.2016002

2019 Impact Factor: 1.366

Tools

Metrics

  • PDF downloads (43)
  • HTML views (0)
  • Cited by (3)

Other articles
by authors

[Back to Top]

Copyright © 2021 American Institute of Mathematical Sciences