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Construction of a system of evaluating assets based on utility indifference pricing

Research Project

Project/Area Number 17K03667
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionNagoya University of Commerce & Business

Principal Investigator

HODOSHIMA Jiro  名古屋商科大学, 経済学部, 教授 (30181514)

Co-Investigator(Kenkyū-buntansha) 三澤 哲也  名古屋市立大学, 大学院経済学研究科, 教授 (10190620)
宮原 孝夫  名古屋市立大学, 大学院経済学研究科, 名誉教授 (20106256)
Project Period (FY) 2017-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywordsperformance measure / 期待効用無差別価格理論 / IRRA / Aumann-Serrano index / 実証研究 / risk loving / 計量分析 / 効用無差別価値 / Aumann-Serrano / 期待効用無差別価値 / Normal mixture / 資産価格の評価への応用 / Performance measure / GARCH model / 計量ファイナンス / 数理ファイナンス / リスク評価 / プロジェクト評価 / normal mixture
Outline of Final Research Achievements

We aimed to evaluate utility indifference pricing and the index named IRRA, proposed by Miyahara (2010, 2014), by assuming the underlying distribution of
assets to follow a flexible class of discrete normal mixture distributions. We showed the properties of utility indifference pricing and the IRRA and applied our method to financial products such as stocks and Bitcoin under the normal mixture distribution assumption and a more general assumption. Our evaluation of financial products is the evaluation appropriate for risk-averse investors.
We succeeded in extending the underlying investor in utility indifference pricing and the IRRA to a risk-loving investor and proved the properties of utility indifference pricing and the IRRA when an investor is risk-loving.

Academic Significance and Societal Importance of the Research Achievements

Miyahara (2010, 2014)が提唱した効用関数が指数関数の場合の期待効用無差別価格とそこから導出される指標IRRAの特性を、問題となる資産などの確率変数にnormal mixture distribution(混合正規分布)を仮定して、より詳しく明らかにすることが出来た。また、期待効用無差別価格とIRRAを、いろいろな金融商品で推定し、これらの金融商品のリスク回避的な評価を示すことが出来た。
また、期待効用無差別価格とIRRAは、これまではリスク回避的な見方だけをしてきたが、リスク愛好的な場合にも拡張出来ることを示し、これまでの研究を統合する視点を提供できた。

Report

(4 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • Research Products

    (20 results)

All 2020 2019 2018 2017 Other

All Journal Article (12 results) (of which Peer Reviewed: 7 results,  Open Access: 1 results) Presentation (5 results) Remarks (3 results)

  • [Journal Article] Utility indifference pricing and the Aumann?Serrano performance index2020

    • Author(s)
      Hodoshima Jiro、Miyahara Yoshio
    • Journal Title

      Journal of Mathematical Economics

      Volume: 86 Pages: 83-89

    • DOI

      10.1016/j.jmateco.2019.12.002

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan2020

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Empirical Economics

      Volume: - Issue: 1 Pages: 101-120

    • DOI

      10.1007/s00181-020-01869-5

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance2019

    • Author(s)
      Jiro Hodoshima and Nana Otsuki
    • Journal Title

      Applied Economics

      Volume: 51 Issue: 39 Pages: 4282-4298

    • DOI

      10.1080/00036846.2019.1591601

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan2019

    • Author(s)
      J. Hodoshima, T. Misawa, and Y. Miyahara
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: - Issue: 2 Pages: 155-174

    • DOI

      10.1007/s10690-019-09287-z

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility2019

    • Author(s)
      Jiro Hodoshima and Toshiyuki Yamawake
    • Journal Title

      Finance Research Letters

      Volume: 28 Pages: 74-81

    • DOI

      10.1016/j.frl.2018.04.006

    • Related Report
      2018 Research-status Report
    • Peer Reviewed
  • [Journal Article] Stock performance by utility indifference pricing and the Sharpe ratio2019

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Quantitative Finance

      Volume: 19 Issue: 2 Pages: 327-338

    • DOI

      10.1080/14697688.2018.1478121

    • Related Report
      2018 Research-status Report
    • Peer Reviewed
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under normal mixture2018

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Finance Research Letters

      Volume: 24 Pages: 221-229

    • DOI

      10.1016/j.frl.2017.09.008

    • Related Report
      2017 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture2018

    • Author(s)
      Jiro Hodoshima, Toshiyuki Yamawake
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 17301 Pages: 1-26

    • Related Report
      2017 Research-status Report
  • [Journal Article] Evaluation of Performance of Stock and REIT Markets in Japan2018

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 17302 Pages: 1-31

    • Related Report
      2017 Research-status Report
  • [Journal Article] Stock performance by utility indifference pricing2017

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 5 Pages: 1-23

    • Related Report
      2017 Research-status Report
  • [Journal Article] Evaluation of performance of stocks: Evidence from Japan2017

    • Author(s)
      Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
    • Journal Title

      Nagoya University of Commerce and Business Discussion Paper

      Volume: 8 Pages: 1-22

    • Related Report
      2017 Research-status Report
  • [Journal Article] normal mixtureのファイナンスへの応用2017

    • Author(s)
      程島次郎
    • Journal Title

      名古屋市立大学経済学研究科紀要『オイコノミカ』

      Volume: 54 Pages: 3-13

    • Related Report
      2017 Research-status Report
  • [Presentation] Utility indifference pricing and the Aumann-Serrano index2019

    • Author(s)
      Jiro Hodoshima and Yoshio Miyahara
    • Organizer
      JAFEE
    • Related Report
      2019 Annual Research Report
  • [Presentation] Evaluation by the Aumann and Serrano Performance Index and Sharpe Ratio: Bitcoin Performance2019

    • Author(s)
      Jiro Hodoshima
    • Organizer
      ファイナンス研究会(名古屋商科大学)
    • Related Report
      2018 Research-status Report
  • [Presentation] Stock performance by utility indifference pricing and the Sharpe ratio2018

    • Author(s)
      Jiro Hodoshima
    • Organizer
      2018年度JAFEE夏季大会
    • Related Report
      2018 Research-status Report
  • [Presentation] Evaluation by Utility Indifference Pricing and the Sharpe Ratio: Bitcoin Performance2018

    • Author(s)
      Jiro Hodoshima
    • Organizer
      科研費研究集会(南山大学)
    • Related Report
      2018 Research-status Report
  • [Presentation] Comparison of the risk-sensitive value measure and mean-variance approach under normal mixture2017

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Related Report
      2017 Research-status Report
  • [Remarks] 教員紹介:Jiro Hodoshima

    • URL

      https://www.nucba.ac.jp/en/faculty/entry.html?bid=143&eid=15570

    • Related Report
      2019 Annual Research Report
  • [Remarks] https://mba.nucba.ac.jp/research/faculty/

    • Related Report
      2018 Research-status Report
  • [Remarks] ディスカッションペーパー

    • URL

      http://www.nucba.ac.jp/university/library/discussion-paper/

    • Related Report
      2017 Research-status Report

URL: 

Published: 2017-04-28   Modified: 2021-02-19  

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