{"created":"2023-07-27T07:57:07.311513+00:00","id":17378,"links":{},"metadata":{"_buckets":{"deposit":"fdac4517-330e-48d4-aecd-c4efd9044465"},"_deposit":{"created_by":3,"id":"17378","owners":[3],"pid":{"revision_id":0,"type":"depid","value":"17378"},"status":"published"},"_oai":{"id":"oai:waseda.repo.nii.ac.jp:00017378","sets":["128:267:1597"]},"author_link":["28246","28245"],"item_10006_alternative_title_30":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Portfolio Choice Using Neural Networks to Estimate Expected Rate of Return"}]},"item_10006_biblio_info_24":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2004","bibliographicIssueDateType":"Issued"},"bibliographic_titles":[{}]}]},"item_10006_creator_22":{"attribute_name":"著者別名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Yanai, Yoshitaka"}],"nameIdentifiers":[{"nameIdentifier":"28246","nameIdentifierScheme":"WEKO"}]}]},"item_10006_description_23":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"卒業論文","subitem_description_type":"Other"}]},"item_10006_description_50":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"text","subitem_description_type":"Other"}]},"item_10006_description_7":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"近年の計算機性能の大幅な向上は大量データを扱うことを可能にし、それに伴い各種工学的手法を用いて株価予測の研究が行われてきた。しかし、従来研究はあまりに単一銘柄の予測に特化しすぎており、ポートフォリオをどのように組むかに注目していない。一方、Markowitzに始まるポートフォリオ構築に関する従来研究の問題はリターン生成プロセスの説明力が高くなく明示的にリターンに時系列構造を考慮していない。そこで、本研究では”Portfolio Selection”における個別銘柄の期待収益率の計算にNNを用いて算出される予測期待収益率を用いることによりリターンに時系列構造を考慮してポートフォリオを構築する手法を提案する。提案手法では日経225銘柄から無作為に選択した8社のデータで株式売買シミュレーションを行い、全銘柄と比較を行ったところ収益率のばらつきを抑え長期的に収益を上げる可能性があることが示された。","subitem_description_type":"Abstract"}]},"item_10006_publisher_44":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Waseda University"}]},"item_10006_rights_13":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"Waseda University theses are protected by copyright."}]},"item_10006_subject_19":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"007","subitem_subject_scheme":"NDC"}]},"item_10006_subject_38":{"attribute_name":"米国議会図書館件名標目","attribute_value_mlt":[{"subitem_subject":"Computer science","subitem_subject_scheme":"LCSH"}]},"item_10006_text_46":{"attribute_name":"アドバイザー","attribute_value_mlt":[{"subitem_text_value":"山名, 早人"}]},"item_10006_text_49":{"attribute_name":"その他の寄与者","attribute_value_mlt":[{"subitem_text_value":"山名研究室"}]},"item_10006_text_71":{"attribute_name":"URI","attribute_value_mlt":[{"subitem_text_value":"http://hdl.handle.net/2065/704"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"柳井, 佳孝"}],"nameIdentifiers":[{"nameIdentifier":"28245","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2016-11-25"}],"displaytype":"detail","filename":"1g01p108.pdf","filesize":[{"value":"443.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"1g01p108.pdf","url":"https://waseda.repo.nii.ac.jp/record/17378/files/1g01p108.pdf"},"version_id":"f5fa6703-77a2-4256-9afa-0f06ef8fe777"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"ニューラルネットワーク","subitem_subject_scheme":"Other"},{"subitem_subject":"ポートフォリオ","subitem_subject_scheme":"Other"},{"subitem_subject":"期待収益率","subitem_subject_scheme":"Other"},{"subitem_subject":"neural networks","subitem_subject_scheme":"Other"},{"subitem_subject":"portfolio","subitem_subject_scheme":"Other"},{"subitem_subject":"expected rate of return","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"thesis","resourceuri":"http://purl.org/coar/resource_type/c_46ec"}]},"item_title":"ニューラルネットワークを用いた株式ポートフォリオ構築手法の提案","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"ニューラルネットワークを用いた株式ポートフォリオ構築手法の提案"}]},"item_type_id":"10006","owner":"3","path":["1597"],"pubdate":{"attribute_name":"公開日","attribute_value":"2008-04-28"},"publish_date":"2008-04-28","publish_status":"0","recid":"17378","relation_version_is_last":true,"title":["ニューラルネットワークを用いた株式ポートフォリオ構築手法の提案"],"weko_creator_id":"3","weko_shared_id":-1},"updated":"2023-11-09T07:13:39.628539+00:00"}