人 工 知 能 学 会 研 究 会 資 料 SIG-FIN-013-07 Attempt Diversification by Clustering of Investment Trusts 1 Takumasa Sakakibara 2 Tohgoroh Matsui 1 Atsuko Mutoh 1 Nobuhiro Inuduka 1 Department of Computer Science and Engineering, Graduate School of Engineering, Nagoya Institute of Technology 2 Chubu University Investing in single or similar financial instruments is dangerous from the viewpoint of risk. In order to realize wide range of investment, make the clustering focuses on stocks companies that Investment Trusts are investing in this study. And I examine a wide range of investment can help to diversification. 1. 2014 [1, 2] 2 3 4 5 : 052-735-5050 sakakibara@nous.nitech.ac.jp V f v i, v j V f : G = (V, E) : V = V f : w(v i, v j ) = v i, v j : E = {(v i, v j) w(v i, v j) > 0} V f V f 1: 2 2. 2.1 Yahoo! MORNINGSTAR 10 Python HTML 10 496 688 688 33 2.2 10 2 1 100 200 5 10 1
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6: 10 k-means 6 (2013 10 2013 4-2013 9 ) 6 323 6 6 k-means k-means kmeans 6 6 200 30 2012 10 7 8 2013 10 9 10 11 2012 10 2013 10 9 1 2012 10 2012 10 2013 07 2013 10 2013 10 2014 1 12 13 ( 5 7: (2012 10 ) 8: (2012 10 ) 9: (2013 10 ) 10: (2013 10 ) 4
11: 2012 (2013 10 ) 2012 10 2012 10 2013 10 12: (2012 10 2014 1 ) 13: (2012 10 2014 1 ) ) 2013 1 5. 3 k-means 6 6 2013 10 [1],,,, 75, 5M-9 (2013) [2],,,, 10 (SIG-FIN), SIG-FIN- 010-09, pp. 49-54 (2013) [3] U. von Luxburg, A tutorial on spectral clustering, Stat. Comp. Vol. 17, Issue 4, 395-416 (2007) [4] Alexandros Karatzoglou, Alex Smola, Kurt Hornik, Achim Zeileis, kernlab -An S4 Package for Kernel Methods in R [5] Jianbo Shi and Jitendra Malik, Normalized Cuts and Image Segmentation, IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLI- GENCE, VOL. 22, NO. 8, AUGUST 2000 [6], (1),, pp.59-65, (2003) [7] Jon Kleinberg, Authoritative sources in a hyperlinked environment, ACM-SIAM Symposium on Discrete Algorithms,pp.668-677 (1998) ( 323) 1( 272) 120 MHAM 225 225 UFJ 225 225 F( ) 225 225 : JATOPIX DIAM 225 5
225 225 UFJ : :MIP[MonthlyInvestmentPlan] BR : : : SRI: (3 ) GS TOPIX UFJ : 21 3 TOPIX :DCTOPIX : 2101 : 225 MHAMTOPIX 225 225 emaxis 225 FVol.4( ) emaxistopix GS ( ) GS ( ) : ( ) ( ) MHAM J:K2000 J :DCJ : ( ) :NO.1 : IBJITM SMTTOPIX DIAM : II BR 225 3 F 225 :Funds-i 225 ING : M A MHAM : GS 225 : SRI : F : BR ( SF) 225 : : : : E : 30 : : PB : : :RAO( ) GS: 2( 34)) JPM JF : : : - - :jnext : 30 DIAM SRI : SBI :jrevive : JPM 96 JASDAQ JPM ( ) JASDAQ-TOP20 1 JF JF P 3( 10) JPM JF F JPM (3 ) 4( 5) : SBI :jcool : 5( 2) ( 10)D 6