売買コストを考慮した市場急変に対応する日本株式運用モデル

抄録

In this study, we propose a new paired evaluators method with consideration of turn over cost for sudden unexpected changes in financial markets. This consideration is necessary to evaluate the usability of forecasting models in realistic portfolio management. We conduct empirical analysis using Japanese stock market data from Jan.2001 to Sep.2010 to test how our proposing method switches the long term portfolio and short term portfolio in efficient ways. The results of the empirical analysis show that our method achieves higher return and reduces risks compared to the cases of fixed portfolios, either long-term portfolio or short-term portfolio.