融資を利用した分散投資における金利とポートフォリオの同時最適化

抄録

In this paper, portfolio optimization using loan is formulated as a chance constrained problem in which the money borrowed from a loan is invested in risk assets. The chance constrained problem is transformed into an equivalence problem and proven to be a convex optimization problem. For deciding a proper interest rate of the loan that benefits both borrowers and lenders, a new method is proposed. It is shown, both theoretically and empirically, that the loan is always used up to the limit for improving the efficient frontier if the interest rate is decided by the proposed method.