| Project/Area Number |
11558046
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 展開研究 |
|---|
| Research Field |
社会システム工学
|
|---|
| Research Institution | CHUO UNIVERSITY (2001)
Tokyo Institute of Technology (1999-2000) |
|---|
Principal Investigator |
KONNO Hiroshi Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10015969)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
WATANABE Norio Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10182940)
KAMAKURA Toshinari Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (40150031)
UNO Takeaki Chuo University, Faculty of Science and Engineering, Associate Professor, 国立情報学研究所, 助教授 (00302977)
GOTOH Junya Chuo University, Faculty of Science and Engineering, Associate Professor, 社会工学系, 講師 (40334031)
二宮 祥一 東京工業大学, 理財工学研究センター, 助教授 (70313377)
白川 浩 東京工業大学, 理財工学研究センター, 助教授 (10216187)
比嘉 邦彦 東京工業大学, 理財工学研究センター, 教授 (50282877)
楠岡 成雄 東京大学, 大学院・数理科学研究科, 教授 (00114463)
|
|---|
| Project Period (FY) |
1999 – 2001
|
| Project Status |
Completed (Fiscal Year 2001)
|
| Budget Amount *help |
¥13,100,000 (Direct Cost: ¥13,100,000)
Fiscal Year 2001: ¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2000: ¥4,800,000 (Direct Cost: ¥4,800,000)
Fiscal Year 1999: ¥4,900,000 (Direct Cost: ¥4,900,000)
|
|---|
| Keywords | Credit Risk / Semi-Definite Programming / Faillure Probability / Lodit Model / Small companies / Financial Data / Scoring / Option Pricing / スコアリンング / 半生定値問題 / 国際分散投資 / 最適化アルゴリズム / ポートフォリオ最適化 / 信用リスク / 財務諸表分析 / 判別分析 / ニューラルネット |
|---|
| Research Abstract |
1. Failure Discriminant Analysis
2. Estimation of Failure Probability
3. Bounding Option Price
4. Maximal Predictability Portfolio
5. Pricing Derivatives by Simulation
6. Global Optimization Methods for Financial Optimization
7. Business Method Patent for Financial Engineering
8. Algorithm for Semi-Definite Programming Arising in Financial Optimization
|
