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Study on Dynamic Portfolio Insurance and Related Topics

Research Project

Project/Area Number 15K03540
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionOsaka University

Principal Investigator

Sekine Jun  大阪大学, 基礎工学研究科, 教授 (50314399)

Research Collaborator Gozzi Fausto  LUISS, Rome
Prosdocimi Cecilia  LUISS, Rome
Federico Salvatore  University of Florence
Macrina Andrea  University College London
Thoednithi Kirati  デロイト・トーマツ
Fukasawa Masaaki  大阪大学
Maeda Hitomi  大阪大学
Muraoka Yusuke  大阪大学
Horikawa Masanobu  大阪大学
Project Period (FY) 2015-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
KeywordsPortfolio Optimization / Portfolio Insurance / Floor Constraint / Dual Approach / Optimal Stopping / Factor Model / 動的効用最大化 / フロアー制約 / 凸双対法 / ファクターモデル / 最適停止問題 / 期待効用最大化 / BSSファクターモデル / 確率アルゴリズム / 動的ポートフォリオ最適化 / ドローダウン制約 / 自由境界 / フィルトレーション拡大
Outline of Final Research Achievements

1) Dual formulation for dynamic utility maximization (of terminal wealth and consumption) is explored. In general, dual problem is formulated as a mixed stochastic control (singular+continuous regular) problem.
2) Under complete market setting, "differential" of the dual problem, which is an optimal stopping problem is explored. For constructing optimal portfolio, one needs to compute optimal stopping boundary (i.e., the free boundary of the associated free boundary problem), which is a difficult part of optimal stopping problem. As a numerical approach, an application of stochastic algorithm (Robins Monroe algorithm) is considered and explored.
3) As related studies, various factor models (i.e., matrix-valued factor, Hilbert valued factor with delay, and randomized Markov bridge factor) are considered and using them, utility maximization problems are explored.

Academic Significance and Societal Importance of the Research Achievements

長期間最適ポートフォリオの考察においてダウンサイドリスクのコントロールは大変重要である。したがって、動的最適化とポートフォリオインシュアランスを組み合わせたフロアー制約付きポートフォリオ最適化問題の研究は理論的のみならず応用上も重要である。一方、この問題を高次元(多種の資産を用いたポートフォリオ)の設定で数値解析してゆくことは大変困難な問題であると認識されている。本研究では、凸双対法を用いたアプローチを開発し、さらに確率アルゴリズムを用いた数値計算法や、高次元でも明示的最適解が求まるような行列値ファクターモデル、ヒルベルト値ファクターモデル、ランダムマルコフブリッジモデルの研究を行った。

Report

(5 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Research-status Report
  • 2016 Research-status Report
  • 2015 Research-status Report
  • Research Products

    (28 results)

All 2019 2018 2017 2016 2015 Other

All Int'l Joint Research (7 results) Journal Article (2 results) (of which Peer Reviewed: 2 results,  Acknowledgement Compliant: 1 results) Presentation (17 results) (of which Int'l Joint Research: 8 results,  Invited: 12 results) Remarks (1 results) Funded Workshop (1 results)

  • [Int'l Joint Research] University College London(英国)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] LUISS, Rome/University of Flolence(イタリア)

    • Related Report
      2018 Annual Research Report
  • [Int'l Joint Research] LUISS, Rome/University of Florence(Italy)

    • Related Report
      2017 Research-status Report
  • [Int'l Joint Research] LUISS, Roma/University of Florence(イタリア)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] University College London(英国)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] LUISS, Rome, Italy/University of Florence, Italy(イタリア)

    • Related Report
      2015 Research-status Report
  • [Int'l Joint Research] National Central University(台湾)

    • Related Report
      2015 Research-status Report
  • [Journal Article] Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps2017

    • Author(s)
      Hata Hiroaki、Sekine Jun
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 24 Issue: 3 Pages: 221-252

    • DOI

      10.1007/s10690-017-9231-4

    • Related Report
      2017 Research-status Report
    • Peer Reviewed
  • [Journal Article] Order estimates for the exact Lugannani-Rice expansion2016

    • Author(s)
      Takashi Kato, Jun Sekine and Kenichi Yoshikawa
    • Journal Title

      Japan Journal of Industrial and Applied Mathematics

      Volume: 33 (1) Issue: 1 Pages: 25-61

    • DOI

      10.1007/s13160-015-0199-z

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] 複合Hawkes型リスクモデルを用いた破産確率評価2019

    • Author(s)
      関根順
    • Organizer
      産学共同研究集会(日本アクチュアリー会、JARIP共催)
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] Optimal Investment and Consumption in an Infinite Dimensional Factor Model with Delay2018

    • Author(s)
      Jun Sekine
    • Organizer
      Workshop on Stochastic Control and Related Issues, Kansai Univ, Osaka
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] On Optimal Thresholds for Pairs Trading in One-Dimensional Diffusion Model2018

    • Author(s)
      Jun Sekine
    • Organizer
      Workshop on Finance, Insurance and Economics, Daejoen, Korea
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] On Optimal Thresholds for Pairs Trading in One-Dimensional Diffusion Model2018

    • Author(s)
      関根 順
    • Organizer
      日本応用数理学会年会(於名古屋大学)
    • Related Report
      2018 Annual Research Report
  • [Presentation] 仮想通貨、スマートコントラクト、リスクの計量化:数理ファイナンスの立場から2018

    • Author(s)
      関根 順
    • Organizer
      日本応用数理学会年会(於名古屋大学)
    • Related Report
      2018 Annual Research Report
  • [Presentation] スマートコントラクトのモデルについて2018

    • Author(s)
      関根 順
    • Organizer
      首都大学東京シンポジウム
    • Related Report
      2018 Annual Research Report
    • Invited
  • [Presentation] The XVA Issues and Related BSDEs2018

    • Author(s)
      Jun Sekine
    • Organizer
      Forum on Mathematics for Industry, Fudan Univ, China
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2018

    • Author(s)
      Jun Sekine
    • Organizer
      Workshop on Stochastic Control and Related Issues, Kansai University, 2018, March
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2017

    • Author(s)
      Jun Sekine
    • Organizer
      The Fifth Asia Quantitative Finance Conference, Seoul, Korea, 2017, April
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2017

    • Author(s)
      Jun Sekine
    • Organizer
      Seminar on Probability, National Central University, Taiwan, 2017, September
    • Related Report
      2017 Research-status Report
    • Invited
  • [Presentation] Stochastic Modeling with Randomized Markov Bridges and Conditioned Stochastic Differential Equations2017

    • Author(s)
      Jun Sekine
    • Organizer
      Mathematics of Risk, MATRIX, University of Melbourne, November, 2017
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Optimal investment and consumption in an infinite dimensional factor model with delay2016

    • Author(s)
      Jun Sekine
    • Organizer
      Workshop on Stochastic Analysis and Mathematical Finance
    • Place of Presentation
      山東大学青島キャンパス、中華人民共和国
    • Year and Date
      2016-08-31
    • Related Report
      2016 Research-status Report
  • [Presentation] A filtration enlargement with noisy anticipation for asset pricing2016

    • Author(s)
      Jun Sekine
    • Organizer
      6th International IMS-FIPS Workshop
    • Place of Presentation
      Edmonton, Canada
    • Year and Date
      2016-07-08
    • Related Report
      2016 Research-status Report
  • [Presentation] Prediction with noisy anticipation and its application to asset pricing2016

    • Author(s)
      Jun Sekine
    • Organizer
      The 4th Asia Quantitative Finance Conference
    • Place of Presentation
      大阪大学中ノ島センター, 大阪市, 大阪府
    • Year and Date
      2016-02-22
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Prediction with noisy anticipation and its application to asset pricing2016

    • Author(s)
      Jun Sekine
    • Organizer
      Sahoro Winter Workshop on Operations Research
    • Place of Presentation
      サホロリゾートホテル, 十勝市, 北海道
    • Year and Date
      2016-02-15
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] A filtration enlargement with noisy anticipation for asset pricing2016

    • Author(s)
      Jun Sekine
    • Organizer
      Ritsumeikan-UCL Workshop
    • Place of Presentation
      立命館大学びわこキャンパス
    • Related Report
      2016 Research-status Report
  • [Presentation] Utility maximization with floor constraint: constructing optimal solution2015

    • Author(s)
      Jun Sekine
    • Organizer
      Seminar of Academia Sinica
    • Place of Presentation
      Academia Sinica, Taipei, Taiwan
    • Year and Date
      2015-08-31
    • Related Report
      2015 Research-status Report
    • Invited
  • [Remarks]

    • URL

      https://sites.google.com/site/junsekine/home/research

    • Related Report
      2015 Research-status Report
  • [Funded Workshop] Mathematical Finance and Related Issues2018

    • Related Report
      2017 Research-status Report

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Published: 2015-04-16   Modified: 2022-02-28  

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