| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
|
|---|
| Outline of Final Research Achievements |
Stochastic dominance and risk premiums on two-dimensional regions are studied by weighted quasi-arithmetic means. A necessary condition and a sufficient condition for risk averse comparison of two utility functions are also given.
Minimizing the distance between risk estimations through decision maker's utility and coherent risk measures with risk spectra is discussed, and the risk spectrum of the optimal coherent risk measures is obtained and it inherits the risk averse property of utility functions. In Markov decision processes, risk-sensitive expected rewards under utility functions are approximated by weighted average value-at-risks, and risk constraints are described by coherent risk measures with the best risk spectrum derived from decision maker's risk averse utility. The mathematical optimality methods in Markov decision making are obtained for high-speed calculation in financial engineering.
|
