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Construction of a robust asset management approach less dependent on the business cycle

Research Project

Project/Area Number 18K01694
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07060:Money and finance-related
Research InstitutionKansai University (2020-2022)
Hokkai-Gakuen University (2018-2019)

Principal Investigator

Yoshikawa Daisuke  関西大学, 政策創造学部, 教授 (90735424)

Project Period (FY) 2018-04-01 – 2023-03-31
Project Status Completed (Fiscal Year 2022)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2021: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2019: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2018: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywords不確実性 / あいまいさ回避 / 最適停止問題 / 機械学習 / ディスポジション効果 / ペアーズ・トレーディング / 曖昧さ回避 / マーケット中立 / 資産運用 / モデル・リスク
Outline of Final Research Achievements

There are three primary outcomes of this study: First, we established a new approach to market-neutral portfolio construction that is independent of the economy; second, we established an optimal investment strategy that takes into account the possibility that the model parameters of the obtained portfolios are incorrect; and third, we were able to present one of the models that explain the disposition effect, one of the sources of statistical arbitrage opportunities. Furthermore, we published a paper and a book on the transaction costs associated with statistical arbitrage and machine learning, which is necessary for constructing market-neutral portfolios.

Academic Significance and Societal Importance of the Research Achievements

本研究による成果がもつ学術的意義は、(1)従来はしばしば不安定だったマーケット中立的なポートフォリオの抽出をより安定的に遂行する新たな手法を開発したこと、(2)こうしたポートフォリオの推定につきまとう過誤を明示的に考慮した戦略を導き出したこと、そして(3)マーケット中立的な運用の源泉ともなる市場のアノマリーのうち、ディスポジション効果を説明する新たなモデルを提示したことにある。
また、本研究で得られた安定的な資産運用手法を、たとえば年金基金などの資産運用に応用できれば、国民生活の安心に貢献できることが期待されるなど社会的意義は極めて大きいことも付言したい。

Report

(6 results)
  • 2022 Annual Research Report   Final Research Report ( PDF )
  • 2021 Research-status Report
  • 2020 Research-status Report
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (11 results)

All 2023 2022 2021 2020 2018

All Journal Article (2 results) (of which Peer Reviewed: 1 results) Presentation (8 results) (of which Int'l Joint Research: 3 results,  Invited: 1 results) Book (1 results)

  • [Journal Article] The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity2021

    • Author(s)
      Iwaki Hideki、Yoshikawa Daisuke
    • Journal Title

      Asia-Pacific Journal of Risk and Insurance

      Volume: 15 Issue: 2 Pages: 107-144

    • DOI

      10.1515/apjri-2020-0041

    • Related Report
      2021 Research-status Report
    • Peer Reviewed
  • [Journal Article] 取引コストを伴う最適消費・投資問題の進展について2021

    • Author(s)
      山嵜 輝, 吉川 大介
    • Journal Title

      イノベーション・マネジメント

      Volume: 18 Pages: 141-159

    • Related Report
      2020 Research-status Report
  • [Presentation] Model uncertainty for statistical arbitrage2023

    • Author(s)
      吉川大介
    • Organizer
      日本オペレーションズ・リサーチ学会 2023 年春季研究発表会
    • Related Report
      2022 Annual Research Report
  • [Presentation] 固有値分解とディープラーニングを用いた新しい統計的裁定戦略の構築2023

    • Author(s)
      吉川大介
    • Organizer
      人工知能学会全国大会(第37回)
    • Related Report
      2022 Annual Research Report
  • [Presentation] Model uncertainty for statistical arbitrage2023

    • Author(s)
      Daisuke Yoshikawa
    • Organizer
      10th International Congress on Industrial and Applied Mathematics
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Pairs trading with deep learning2020

    • Author(s)
      吉川 大介
    • Organizer
      人工知能学会
    • Related Report
      2020 Research-status Report
  • [Presentation] Pairs trading with deep learning2020

    • Author(s)
      吉川大介
    • Organizer
      人工知能学会
    • Related Report
      2019 Research-status Report
  • [Presentation] Pairs trading under model uncertainty2018

    • Author(s)
      Daisuke Yoshikawa
    • Organizer
      Robust Techniques in Quantitative Finance
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Pairs trading under model uncertainty2018

    • Author(s)
      Daisuke Yoshikawa
    • Organizer
      Stochastic Analysis Group Seminar “Probability, Stochastic and Finance”
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] A note on market structure with transaction costs2018

    • Author(s)
      Daisuke Yoshikawa
    • Organizer
      IFABS 2018 Porto Conference
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Book] データ駆動型ファイナンス2022

    • Author(s)
      吉川大介
    • Total Pages
      272
    • Publisher
      共立出版
    • ISBN
      9784320096523
    • Related Report
      2022 Annual Research Report

URL: 

Published: 2018-04-23   Modified: 2024-01-30  

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