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Effective Solution of a Portfolio Selection Based on a Block of Shares by a Meta-controlled Boltzmann Machine

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Knowledge-Based Intelligent Information and Engineering Systems (KES 2004)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 3215))

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Abstract

In a real investment, stocks are dealt with based on a block of shares. A block of shares is a minimum unit for trading stocks. However, a conventional portfolio selection problem does not consider about a block of shares. If we deal with stocks according to a block of shares, real allocations of funds to each stock should differ among the cases of different amounts of money. Furthermore, a decision maker should be unable to buy less than one block even if the investing ratio for some stock is much smaller.

The objective of this paper is to build a portfolio selection model in consideration of the amount of investing funds and a block of shares. Our model is formulated as an integer quadratic programming problem. In general, an integer nonlinear programming problem is difficult to solve for all but the smallest cases. So we also propose the efficiently approximate model employing a Meta-controlled Boltzmann machine.

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Author information

Authors and Affiliations

  1. Faculty of Business Administration, Osaka Sangyo University, 3-1-1 Nakagaito, Daito-shi, Osaka, 574-8530, Japan

    Teruyuki Watanabe

  2. Graduate School of Information, Production and Systems, Waseda University, 2-7 Hibikino, Wakamatsu-ku, Kitakyushu-shi, Fukuoka, 808-0135, Japan

    Junzo Watada

Authors
  1. Teruyuki Watanabe
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  2. Junzo Watada
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Editor information

Editors and Affiliations

  1. KES International, 2nd Floor, 145-157 St John Street, EC1V 4PY, London, United Kingdom

    Mircea Gh. Negoita

  2. Centre for SMART systems Engineering Research Centre, University of Brighton, BN2 4GJ, Moulsecoomb, Brighton, UK

    Robert J. Howlett

  3. School of Electrical and Information Engineering, Knowledge Based Intelligent Engineering Systems Centre, University of South Australia, Mawson Lakes, 5095, SA, Australia

    Lakhmi C. Jain

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© 2004 Springer-Verlag Berlin Heidelberg

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Watanabe, T., Watada, J. (2004). Effective Solution of a Portfolio Selection Based on a Block of Shares by a Meta-controlled Boltzmann Machine. In: Negoita, M.G., Howlett, R.J., Jain, L.C. (eds) Knowledge-Based Intelligent Information and Engineering Systems. KES 2004. Lecture Notes in Computer Science(), vol 3215. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30134-9_19

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  • DOI: https://doi.org/10.1007/978-3-540-30134-9_19

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-23205-6

  • Online ISBN: 978-3-540-30134-9

  • eBook Packages: Springer Book Archive

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