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Empirical and theoretical studies of pension fund management

Research Project

Project/Area Number 11430019
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionYokohama National University

Principal Investigator

KURASAWA Motonari  Yokohama National University, International Graduate School of Social Sciences, Professor, 国際社会科学研究科, 教授 (40018057)

Co-Investigator(Kenkyū-buntansha) AKIYAMA Taro  Yokohama National University, Faculty of Economics, Professor, 経済学部, 教授 (40167854)
MORITA Hiroshi  Yokohama National University, Faculty of Business Administration, Associate Professor, 経営学部, 助教授 (70239664)
HONDA Toshiki  Hitotsubashi University, Graduate School of International Corporate Strategy, Associate Professor, 大学院・国際企業戦略研究科, 助教授 (70303063)
Project Period (FY) 1999 – 2001
Project Status Completed (Fiscal Year 2001)
Budget Amount *help
¥4,500,000 (Direct Cost: ¥4,500,000)
Fiscal Year 2001: ¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 2000: ¥1,600,000 (Direct Cost: ¥1,600,000)
Fiscal Year 1999: ¥1,800,000 (Direct Cost: ¥1,800,000)
Keywordspension / fund management / term structure / risk management / capital budgeting / 年金運用 / 派生証券 / 投資戦略 / アベレージ・レート・オプション / 予定利率 / 団体年金 / 株価指数連動型年金 / 個人変額年金 / ポートフォリオ / 証券投資 / 取引費用 / 信用リスク
Research Abstract

(1)Only specifying the endowment process as Ornstein-Uhlenbeck process, we investigate the forward rates in the equilibrium of pure exchange economy. Using forward measure and coefficient of relative risk aversion, the forward rates are expressed in simple form. In the case of decreasing relative risk aversion utility, the forward rates are positive almost surely, and the volatility is the convex combination of Vasicek type and HJM log normal type. This new term structure model is expected to be very useful in pension fund management.
(2)By integrated analysis of risk management and capital budgeting of financial institution, we derived general and consistent, but relatively simple evaluation criteria of risk management and capital budgeting.

Report

(4 results)
  • 2001 Annual Research Report   Final Research Report Summary
  • 2000 Annual Research Report
  • 1999 Annual Research Report
  • Research Products

    (17 results)

All 2002 2000 1999 Other

All Journal Article (11 results) Book (1 results) Publications (5 results)

  • [Journal Article] Shion Keikaku to Risku Knari2002

    • Author(s)
      Kurasawa, Motonari
    • Journal Title

      Sisan Unyou no Saisentan Riron (Asano, Y., H.Sasai eds.) (Nihonkeizai-shinbun-sya)

      Pages: 69-92

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] イノベーション、資本蓄積、市場競争および経済成長2000

    • Author(s)
      秋山太郎
    • Journal Title

      エコノミア 51巻1号

      Pages: 35-54

    • NAID

      110000115992

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] Inobe-syon, Shihon Chikuseki Shjou Kyousou oyobi Keizai Seityou2000

    • Author(s)
      Akiyama, Taro
    • Journal Title

      Econornia 51(1)

      Pages: 35-54

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] デフォルトリスクのあるタームストラクチャー1999

    • Author(s)
      森田洋
    • Journal Title

      横浜経営研究 20巻3号

      Pages: 69-78

    • NAID

      110006151854

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] 取引費用が存在する場合の最適ポートフォリオについて1999

    • Author(s)
      本多俊毅
    • Journal Title

      エコノミア 50巻3号

      Pages: 12-25

    • NAID

      110000115972

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] 投資機会が変動する場合の最適ポートフォリオについて1999

    • Author(s)
      本多俊毅
    • Journal Title

      現代ファイナンス 6号

      Pages: 19-45

    • NAID

      130007528357

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] 技術進歩、成長および失業1999

    • Author(s)
      秋山太郎
    • Journal Title

      エコノミア 50巻3号

      Pages: 1-11

    • NAID

      110000115971

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] Deforuto Risku no aru Tamu Sutorakutya1999

    • Author(s)
      Morita, Hiroshi
    • Journal Title

      Yokohama Keiei Kenkyu 20(3)

      Pages: 59-78

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] Torihiki Hiyo ga Sonzaisuru Baai no Saiteki Potoforio ni tuite1999

    • Author(s)
      Honda, Tosiki
    • Journal Title

      Economia 50(3)

      Pages: 12-25

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] Toshi Kikai ga Hendosuru Baai no Saiteki Potoforio ni tuite1999

    • Author(s)
      Honda, Tosiki
    • Journal Title

      Gendai Fuainansu 6

      Pages: 19-45

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Journal Article] Gijutu Shinpo, Seutyou oyobi Situgyou1999

    • Author(s)
      Akiyama, Taro
    • Journal Title

      Economia 50(3)

      Pages: 1-11

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Book] 「資本計画とリスク管理」浅野・笹井編『資産運用の最先端理論』(p.69-92)2002

    • Author(s)
      倉澤資成
    • Publisher
      日本経済新聞社
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 倉澤資成: "「資本計画とリスク管理」浅野・笹井編『資産運用の最先端理論』所収"日本経済新聞社、(2002年3月刊行予定). (2002)

    • Related Report
      2001 Annual Research Report
  • [Publications] 秋山太郎: "イノベーション、資本蓄積、市場競争および経済成長"エコノミア. 51巻1号. 35-54 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 本多俊毅: "投資機会が変動する場合の最適ポートフォリオについて"現代ファイナンス. No.6. 19-45 (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] 本多俊毅: "取引費用が存在する場合の最適ポートフォリオについて"エコノミア. 第50巻3号. 12-35 (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] 森田洋: "デフォルトリスクがあるタームトラクチャー"横浜経営研究. 第20巻・3号. 212-234 (1999)

    • Related Report
      1999 Annual Research Report

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Published: 1999-04-01   Modified: 2016-04-21  

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