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Dynamical Risk Sensitive Value Measure and its Application to Valuation of Project

Research Project

Project/Area Number 18K03421
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 12040:Applied mathematics and statistics-related
Research InstitutionNagoya City University

Principal Investigator

MISAWA Tetsuya  名古屋市立大学, 大学院経済学研究科, 教授 (10190620)

Co-Investigator(Kenkyū-buntansha) 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)
宮内 肇  熊本大学, 大学院先端科学研究部(工), 准教授 (20181977)
Project Period (FY) 2018-04-01 – 2021-03-31
Project Status Completed (Fiscal Year 2020)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2020: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2018: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywordsリスク鋭感的価値尺度 / プロジェクト事業価値評価 / 確率力学系 / 効用無差別価格 / リスク管理 / 内部リスク回避度 / 太陽光発電事業 / 固定価格買い取り制度 / 確率系 / 再生エネルギー電源 / 双鋭感的価値尺度 / 事業プロジェクト投資 / 信頼性指標 / 電力システム / プロジェクト事業投資 / 事業ポートフォリオ / 電力系統 / 供給信頼度指標 / 再生可能エネルギー / 太陽光発電 / 風力発電 / リスクと信頼性 / リスク価値尺度 / プロジェクト事業 / 発電事業 / 投資決定モデル
Outline of Final Research Achievements

We have proposed the risk sensitive value measure (RSVM), which evaluates the value of various investments in consideration of risk, and have conducted basic research on it. In this study, we attempted to expand the setting of RSVM, such as dynamic from view of stochastic dynamical systems, and the target of application, and thereby deepened the theory of value evaluation based on RSVM. As a case study of business valuation using RSVM, we focused on renewable energy business. A comparison was made between RSVM and the mean and variance approach, and the appropriateness of RSVM for risk-averse businesses was confirmed.

Academic Significance and Societal Importance of the Research Achievements

ファイナンス分野において、理想的市場を想定したうえでの証券投資や資産の標準的な価値評価法あるいはリスクを考慮した事業投資評価法は盛んに研究され利用されている。一方、現実には理想的な設定が必ずしも通用しない状況下でのリスクを含む投資価値評価を扱う事も多く、何らかの対応が必要である。本研究を含む一連のRSVM研究はその視点からなされたものであり、上述の標準的方法と補完しあう成果が期待できることからその学術的、社会的意義は大きいと考えられる。

Report

(4 results)
  • 2020 Annual Research Report   Final Research Report ( PDF )
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (27 results)

All 2021 2020 2019 2018

All Journal Article (12 results) (of which Peer Reviewed: 9 results,  Open Access: 5 results) Presentation (15 results) (of which Int'l Joint Research: 2 results)

  • [Journal Article] Evaluation of Renewable Energy Project by Risk Sensitive Value Measurement2020

    • Author(s)
      H. Miyauchi, D. Yoshimoto, T. Koga, H. Izutsu, T. Misawa
    • Journal Title

      IFAC PapersOnLine

      Volume: 53 Issue: 2 Pages: 12201-12206

    • DOI

      10.1016/j.ifacol.2020.12.1080

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection2020

    • Author(s)
      Miyahara Yoshio
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 27 Issue: 2 Pages: 193-212

    • DOI

      10.1007/s10690-019-09289-x

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed
  • [Journal Article] リスク鋭感的価値尺度(RSVM )の拡張とその応用2020

    • Author(s)
      宮原孝夫
    • Journal Title

      リアルオプションと戦略

      Volume: 11 Pages: 55-58

    • NAID

      130007932081

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan2020

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

      Asian-Pacific Financial Markets (to appear)

      Volume: -

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [Journal Article] Inner Rate of Risk Aversion (IRRA) and its Application to Investment Selection2020

    • Author(s)
      Miyahara Yoshio
    • Journal Title

      Asian-Pacific Financial Markets (to appear)

      Volume: -

    • Related Report
      2019 Research-status Report
    • Peer Reviewed
  • [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 Research-status Report
    • Peer Reviewed
  • [Journal Article] Supply Reliability Index using Risk Sensitive Value Measure2019

    • Author(s)
      古川 義英, 宮内 肇, 三澤 哲也
    • Journal Title

      IEEJ Transactions on Power and Energy

      Volume: 139 Issue: 5 Pages: 356-362

    • DOI

      10.1541/ieejpes.139.356

    • NAID

      130007641308

    • ISSN
      0385-4213, 1348-8147
    • Year and Date
      2019-05-01
    • Related Report
      2019 Research-status Report 2018 Research-status Report
    • Peer Reviewed / Open Access
  • [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
      2020 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 防災事業の価値評価2019

    • Author(s)
      宮原 孝夫
    • Journal Title

      統計数理研究所・共同研究リポート「極値理論の工学への応用」

      Volume: 20180720-21 Pages: 90-106

    • Related Report
      2018 Research-status Report
    • Open Access
  • [Journal Article] Extension of Effective Load Carrying Capability Using Risk-Sensitive Value Measure2018

    • Author(s)
      Yoshihide Furukawa, Hajime Miyauchi, and Tetsuya Misawa
    • Journal Title

      Proc. of 24th International Conference on Electrical Engineering, 2018

      Volume: ICEE 2018 Pages: 1852-1855

    • Related Report
      2018 Research-status Report
    • Peer Reviewed
  • [Journal Article] Inner Rate of Risk Aversion (IRRA)and its Application to Investment Selection2018

    • Author(s)
      Yoshio MIYAHARA
    • Journal Title

      Discussion Papers in Economics, Nagoya City Univ.

      Volume: 635 Pages: 1-15

    • Related Report
      2018 Research-status Report
    • Open Access
  • [Journal Article] Project Valuation Method under Random Environment2018

    • Author(s)
      宮原 孝夫
    • Journal Title

      Communications of the Japan Association of Real Options and Strategy

      Volume: 10 Issue: 3 Pages: 58-67

    • DOI

      10.12949/cjaros.10.3_58

    • NAID

      130007641804

    • ISSN
      2189-6585
    • Related Report
      2018 Research-status Report
    • Open Access
  • [Presentation] 双鋭感的価値尺度(BSVM)とその応用2021

    • Author(s)
      宮原孝夫
    • Organizer
      日本金融・証券計量・工学学会(JAFEE)(Online)
    • Related Report
      2020 Annual Research Report
  • [Presentation] Evaluation of Renewable Energy Project by Risk Sensitive Value Measurement2020

    • Author(s)
      H. Miyauchi, D. Yoshimoto, T. Koga, H. Izutsu, T. Misawa
    • Organizer
      IFAC World Congress 2020, July 11-17 Germany (Online)
    • Related Report
      2020 Annual Research Report
    • Int'l Joint Research
  • [Presentation] リスク鋭感的価値尺度に基づく再生可能エネルギー大量導入下における新規火力発電事業の事業価値評価2020

    • Author(s)
      井筒晴海, 宮内 肇, 三澤哲也
    • Organizer
      令和2年電気学会電力技術・電力系統技術合同研究会
    • Related Report
      2020 Annual Research Report
  • [Presentation] リスク鋭感的価値尺度(RSVM )の拡張とその応用2020

    • Author(s)
      宮原孝夫
    • Organizer
      日本リアルオプション学会(Online)
    • Related Report
      2020 Annual Research Report
  • [Presentation] 内部リスク回避度(IRRA)とその活用法2019

    • Author(s)
      宮原孝夫
    • Organizer
      日本リアルオプション学会
    • Related Report
      2019 Research-status Report
  • [Presentation] 小規模水力発電と分散型電源を有する孤立電力系統の供給信頼度2019

    • Author(s)
      秋庭 駿、宮内 肇
    • Organizer
      令和元年電気学会電力・エネルギー部門大会
    • Related Report
      2019 Research-status Report
  • [Presentation] 様々な電源構成におけるリスク鋭感的価値尺度に基づく供給信頼度評価2019

    • Author(s)
      嶺川宙貴、宮内 肇、古賀貴裕
    • Organizer
      令和元年電気学会電力・エネルギー部門大会
    • Related Report
      2019 Research-status Report
  • [Presentation] RSVM法による風力発電事業の事業価値評価とそれに基づく投資規模と年平均風速の相関2019

    • Author(s)
      吉本大悟、宮内 肇、三澤哲也
    • Organizer
      令和元年電気学会電力・エネルギー部門大会
    • Related Report
      2019 Research-status Report
  • [Presentation] RSVMに基づく燃料調整コストを考慮した新規火力発電事業の事業価値評価2019

    • Author(s)
      井筒晴海、宮内 肇、吉本大悟、古賀貴裕
    • Organizer
      令和元年電気学会電力・エネルギー部門大会
    • Related Report
      2019 Research-status Report
  • [Presentation] 再生可能エネルギー電源をもつ電力系統のRSVMを用いた供給信頼度評価2019

    • Author(s)
      古賀貴裕、宮内 肇、三澤哲也
    • Organizer
      令和元年電気学会電力技術・電力系統技術合同研究会
    • Related Report
      2019 Research-status Report
  • [Presentation] Extension of Effective Load Carrying Capability Using Risk-Sensitive Value Measure2018

    • Author(s)
      Yoshihide Furukawa, Hajime Miyauchi, and Tetsuya Misawa
    • Organizer
      24th International Conference on Electrical Engineering June 24-28, 2018 | Seoul, Korea
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] RSVMとMV法による太陽光発電事業の事業価値評価に関する考察2018

    • Author(s)
      古賀 貴裕、宮内 肇、三澤 哲也
    • Organizer
      平成30年電気学会電力・エネルギー部門大会
    • Related Report
      2018 Research-status Report
  • [Presentation] RSVM法による規模のリスクを考慮した風力発電事業の評価に関する一考察2018

    • Author(s)
      吉本 大悟、宮内 肇、三澤 哲也
    • Organizer
      平成30年電気学会電力・エネルギー部門大会
    • Related Report
      2018 Research-status Report
  • [Presentation] Applications of RSVM Method to Investment Strategy2018

    • Author(s)
      宮原 孝夫
    • Organizer
      日本金融・証券計量・工学学会(JAFEE)夏季大会
    • Related Report
      2018 Research-status Report
  • [Presentation] ポアソン型リスクを持つプロジェクトの価値評価2018

    • Author(s)
      宮原 孝夫
    • Organizer
      日本リアルオプション学会
    • Related Report
      2018 Research-status Report

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Published: 2018-04-23   Modified: 2022-01-27  

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