| Project/Area Number |
17500184
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Chiba Institute of Technology |
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Principal Investigator |
XU Chunhui Chiba Institute of Technology, Faculty of Social Systems Science, Associate professor (70279058)
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| Project Period (FY) |
2005 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥2,550,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥150,000)
Fiscal Year 2007: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2006: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 2005: ¥1,400,000 (Direct Cost: ¥1,400,000)
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| Keywords | Investment Management / Portfolio / Management of market risk / Value at Risk / Measurement of financial market risk / Securities investment / Optimization / Soft approach / リスクマネジメント |
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| Research Abstract |
This research solved the models built for financial investment with market risk measured by the Value at Risk (VaR), by using the soft approach that the head investigator has been advocating in recent years, thus provided a new way for managing market risk. And two models were proposed for managing portfolio dynamically, and their resolution methods were also provided. Furthermore, we demonstrated the validity of the proposed models and methods by conducting portfolio selection simulation and dynamic portfolio management simulation with real stock price data from the New York Stock Exchange market.
Concretely, the research investigated the following issues concerned with risk management in financial investment.
(1) Portfolio Selection : We gave a method for solving the portfolio optimization models with market risk measured by VaR using the soft approach. We also modeled the portfolio selection problems where market risk is measured from multiple views, and gave the resolution methods.
(2) Portfolio Rebalancing : We built optimization models for portfolio rebalancing problems by taking capital gain tax and transaction commission as rebalancing cost. And soft methods for solving these models were also given.
(3) Dynamic Portfolio Management : We proposed two models for managing portfolios dynamically. One is a multistage portfolio optimization model where rebalancing times are fixed in advance, while the other is a control-theoretical model where rebalancing times are not fixed. Soft methods for solving these models were provided.
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