| Project/Area Number |
09650078
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Engineering fundamentals
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
SHIRAKAWA Hiroshi Tokyo Institute of Technology, Department of Industrial Engineering and Management, Associate Professor (10216187)
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| Co-Investigator(Kenkyū-buntansha) |
KONNO Hiroshi TOKYO INSTITUTE OF TECHNOLOGY, Department of Industrial Engineering and Management, Professor (10015969)
SUZUKI Keniti Tohoku University, Faculty of Economics, Associate (30262306)
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| Project Period (FY) |
1997 – 1998
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| Project Status |
Completed (Fiscal Year 1998)
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| Budget Amount *help |
¥3,300,000 (Direct Cost: ¥3,300,000)
Fiscal Year 1998: ¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 1997: ¥1,900,000 (Direct Cost: ¥1,900,000)
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| Keywords | Simulation / Universal portfolio / Expectational growth rate aximization / Neural net work / Blach-Scholes type / Reproduction of option / Delia hedge / Call option |
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| Research Abstract |
In this research, it researched concerning the option hedge which used the simulation and the optimization technique for the property to use operation and the neural net work. The achieved concrete result is as follows.
1) Presuming the best strategy in the meaning which maximized the expectational growth rate became possible by the universal portfolio selection strategy which changed the weight putting in proportion to the goodness of a past performance.
2) When the universal portfolio strategy was done in the security market in the United States, being able to construct the portfolio that the performance or more is good in the meaning of the growth rate compared with the target portfolio optimization strategy after the fact at. the time of mere became clear.
3) The approach of the backing test which decided the policy of the asset management was able to clarify a theoretical condition that settling to the optimum solution is guaranteed by maximizing the asset management of each sample b
… More
y using a so-called, past data.
4) It thought about the evaluation type which generalized the Braccshorlz type, and the study possibility by the neural net work was examined. Consequently, being able to study the call option evaluation type of Braccshulztaip even by some accuracy by giving enough teacher data became clear. Moreover, the possibility of the option reproduction with the delta hedge is considered. Especially, if the teacher input data of the option price corresponding to stock prices of a wide cooking stove was obtained, it turned out to be able to study the delta function (for Catayobi) enough.
5) The Corlopshoshi evaluation type was studied based on the option price had dealings in the market, and whether the option price type presumed from the market data with the delta hedge was an evaluation type with the rationality was corrected in. If the generalization evaluation type of Braccshulz was made a starting point as a result, it was able to be proven that a very reasonable evaluation type was studied. Less
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