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Modeling of Continuous Time Index Fund and its Statistical Test

Research Project

Project/Area Number 12630115
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Commerce
Research InstitutionOsaka University

Principal Investigator

TABATA Yoshio  Graduate School of Economics, Osaka University Professor, 大学院・経済学研究科, 教授 (30028047)

Project Period (FY) 2000 – 2001
Project Status Completed (Fiscal Year 2001)
Budget Amount *help
¥2,500,000 (Direct Cost: ¥2,500,000)
Fiscal Year 2001: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 2000: ¥1,800,000 (Direct Cost: ¥1,800,000)
KeywordsTracking Error / Stochastic Equation / Financial Engineering / Risk Control / トラッキングエラー / インデックス・ファンド
Research Abstract

This research is concerned with a continuous time financial problem to find an index fund similar to the benchmark portfolio. The problem is formulated into the optimal stochastic control problem under the mean square error tracking at the final point in time horizon. The main results obtained in this research are some extensions of the static case and described as follows:
(1) If the benchmark portfolio is on the efficient frontier, then the optimal index fund is also on the efficient frontier for any point in time.
(2) If the benchmark portfolio is not on the efficient frontier, then the optimal index fund is not also on the efficient frontier for any point in time.
(3) The genetic algorithm is most efficient to find an optimal index fund.
One of our results is published in the discussion paper and the comments and reflects from researchers have been required. The other paper is submitted to the academic journal. Moreover, all the results were reported in the workshop in the OR society of Japan and in the international conference held in Korea. In addition, two books in which include the fundamental concept of our results are published in Japan.

Report

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

    (9 results)

All Other

All Publications (9 results)

  • [Publications] San Han, Y.Tabata: "A Genetic Algorithm Approach for Design of Index Fund"Discustion Paper in Economics and Business.

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 田畑 吉雄: "経営科学入門"牧野書店. 215 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 田畑 吉雄: "金融工学入門"エコノミックス社. 328 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] San Han and Y. Tabata: "A Genetic Algorithm Approach for Design of Index Fund"Discussion Paper in Economics and Business. Vol.18. (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Yoshio Tabata: "Introduction to Management Science"Makino Press. 215 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] Yoshio Tabata: "Introduction to Financial Engineering"Economics Com. 328 (2002)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2001 Final Research Report Summary
  • [Publications] 田畑 吉雄: "金融工学入門"エコノミックス社. 32 (2002)

    • Related Report
      2001 Annual Research Report
  • [Publications] San Han and Y.Tabata: "A Genetic Algorithm Approach for Design of Index Furl"Discussion Paper in Economics and Bussiness. 18. (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 田畑吉雄: "経営科学入門"牧野書店. 215 (2000)

    • Related Report
      2000 Annual Research Report

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Published: 2000-04-01   Modified: 2016-04-21  

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