Investment decision making with minimum fluctuations based on two objective criterions

The authors discuss the investment problem based on minimum variance and maximum expected return based on minimum fluctuation from the previous investment pattern. A conventional portfolio selection problem, which is based on a mean-variance model, is not solved under the consideration of its preceding investment. In a real market, considering the influence of investing on a market, a large trade would not be a good strategy. The authors propose a method to take the investing pattern of a preceding term into consideration. In this model, the distance of portfolio for investing patterns is evaluated between this term and its preceding term and the portfolio is selected so as to minimize the total value of both the risk and the distance.