To provide, in useful forms, asset apportionment in maturation periods peculiar to pensions together with asset apportionment in a plurality of most recent periods, to provide information on a multiperiod basic portfolio useful for asset apportionment, and to control how much the most recent period and the maturation period are emphasized.
A multiperiod asset apportionment calculation part 24 finds asset apportionment for each of a plurality of forecast time points by using a multiperiod optimization model. The plurality of forecast time points are set so that densities at forecast time points far from the present are lower than densities at forecast time points near to the present. A multitude of scenarios made of random numbers are used. From multiperiod asset apportionment, a basic portfolio producing part 44 finds the multiperiod basic portfolio having an apportionment fluctuation band, an expected average rate of return, and an average risk of each asset, as effective parameters for portfolio management. The optimization model corresponds to weighted addition of expected wealth of future near to the present and expected wealth of future far from the present, and the weighting is adjustable.
MARUYAMA TAKAYUKI
SUMITOMO LIFE INSURANCE CO
| JPH1196218A | 1999-04-09 | |||
| JPH11120255A | 1999-04-30 | |||
| JP2002032564A | 2002-01-31 | |||
| JP2002010926A | 2002-01-15 |
竹原 均 HITOSHI TAKEHARA, ファイナンス講座５ ポートフォリオの最適化 初版, vol. 第1版, JPN6008005512, 20 April 1997 (1997-04-20), JP, pages 136 - 162, ISSN: 0000976343