経営課題にAIを!ビジネスインフォマティクス研究会 (第8回)
JSAI Special Interest Group on Business Informatics (SIG-BI #8)

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Takamasa Kikuchi1Hiroshi Takahashi1
1¾¸ė ¥ ¥ńēďþĉČċ1
Graduate School of Business Administration, Keio University
Abstract: In recent years, interst in practical use of artificial intelligence and big-data analysis is increasing in thefinance-related field. There are successive new settings of funds that make invest decisions using such technology. In
this research, we apply the performance analysis method for hedge funds and analyze the performance on somesamples of such funds mainly from the viewpoint of risk characteristics.
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1

経営課題にAIを!ビジネスインフォマティクス研究会 (第8回)
JSAI Special Interest Group on Business Informatics (SIG-BI #8)

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= 6 >5<[日経 2017] 日本経済新聞記事(投資番付, 2017/12/14) ”当初
設定額が大きいファンド, 新興国・AI関連が上位”:
https://www.nikkei.com/article/DGXMZO24620570U7A21
1C1ENK000/[小林 2017] 小林正啓, ”自動運転車の実現に向けた法制度上の課題,” 情報管理, vol.60, no.4, pp.240-250, 2017.
[森田 2017] 森田果, ”AIの法規整をめぐる基本的な考え方,”RIETI Discussion Paper Series 17-J-011, 2017.
[Fung & Hsieh 2004] Fung, W. and Hsieh, D. A.: “HedgeFund Benchmarks: A Risk-Based Approach,” FinancialAnalysts Journal, Vol. 60, No. 5, pp. 65-80, 2004.
[Fung 2005] Fung, W.: オルタナティブ投資の理論，証券アナリストジャーナル，Vol. 43, No.6, pp.7-22, 2005.
[Sharpe 1964] Sharpe, W. F.: “Capital Asset Prices: A
Theory of Market Equilibrium under Conditions of Risk,”
Journal of Finance, Vol.19, No.3, pp.425-442, 1964.
[Lintner 1965] Lintner, J. “The Valuation of Risk Assets
and the Selection of Risky Investments in Stock Portfolios
and Capital Budgets,” The Review of Economics andStatistics, Vol.47, No.1, pp.13-37, 1965.
[Fama&French 1993] Fama, E. F. and French, K. R.:“Common Risk Factors in the Returns on Stocks andBonds,” Journal of Financial Economics, Vol. 33, No.1,pp.3-56, 1993.
[Fama&French 1995] Fama, E. F. and French, K. R.: “Sizeand Book-to-Market Factors in Earnings and Returns,”
The Journal of Finance, Vol.50, No. 1, pp.131-155, 1995.
[Fama&French 1996] Fama, E. F. and French, K. R.:“Multifactor Explanations of Asset Pricing Anomalies,”
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[Carhart 1997] Carhart, M. M.: “On Persistence in Mutual
Fund Performance,” The Journal of Finance, Vol.52, No.1,pp.57-82, 1997.
[French website] Kenneth French’s Website:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/D
ata_Library/f-f_factors.html

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