To provide a method and apparatus for effectively determining the financial products of individual stocks and buying amount thereof so as to maximize the utility functions of investors, consisting of profit ratios and risks under given constraints, such as risks.
The method is provided with an individual profit ratio inputting means 101 for inputting the expected values of profit ratios of individual financial products; an individual variable factor inputting means 102 for inputting the individual variable factor being the variable factor of the profit ratio of a stock itself; a common variable factor inputting means 103 for inputting common variable factors which are the variable factors of the profit ratios of overall stocks; a constraint parameter inputting means 104 for inputting constraint parameters; an optimal portfolio finding means 106 for deriving the financial products of buying objects and buying amount thereof, on the basis of input data; a portfolio-computing means 105 for computing portfolio profit ratios; a constraints decision means 107 for deciding whether the constraints with respect to the risks of the derived portfolios are satisfied; and an optimal portfolio outputting means 108 for outputting the derived results.
KOBAYASHI YASUHIRO
TAKAMOTO MASANORI
Kyosuke Tanaka
Takashi Sasaki