Robust Portfolio and Its Risk Measurement

• Project/Area Number: 19500234
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Statistical science
• Research Institution: Hitotsubashi University
• Principal Investigator: NAKAMURA Nobuhiro Hitotsubashi University, 大学院・国際企業戦略研究科, 教授 (90323899)
• Co-Investigator(Kenkyū-buntansha): KAMIMURA Shoji 麗澤大学, 国際経済学部, 准教授 (50323902)
• Project Period (FY): 2007 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2008: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000); Fiscal Year 2007: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
• Keywords: 統計数学 / 確率論 / ファイナンス / ロバスト・ポートフォリオ / モデルの不確実性 / コンバージェンス取引 / 確率微分効用 / 流動性リスク / 探索・交渉理論 / プリンシパルーエージェント理論 / 相対エントロピー / 連続時間動学的最適化 / 前進・後退確率微分方程式 / 名目・実質金利期間構造モデル / 部分情報下の動学

Research Abstract

リスク資産の変動過程に関して、我々は真のモデルを知ることはできないため、モデル選択においては常に不確実性が付き纏う。本研究では、このモデル選択の不確実性に起因する損失をできるだけ回避して最良のポートフォリオを構築する方法とそのリスク計測手法を探求した。その応用として、年金基金や投資信託、ヘッジファンド等の中長期投資で、このような動的でロバスト最適な投資戦略の構成法と実践法を示した。

Research Products

• [Journal Article] Robust Del egated Portfolio Management with Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 30-th JAFEE meeting Pages: 273-291
• [Journal Article] Robust Yie ld Curve Arbitrage in Hedge Funds under Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 29-th JAFEE meeting Pages: 169-183
• [Journal Article] 拡張Mertonモデルとその応用」、日本金融・証券計量・工学学会JAFEE)学会誌 (2008)
  • Author(s): 中村信弘
  • Journal Title: ジャフィー・ジャーナル|金融工学と市場計量分析 ; 非流動性資産の価格付けとリアルオプション(津田博史, 中妻照雄, 山田雄二)(朝倉書店) Pages: 213-235
  • Peer Reviewed
• [Journal Article] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 29-th JAFEE meeting Summer Pages: 169-183
• [Journal Article] Robust Delegated Portfolio Management with Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 30-th JAFEE meeting Winter Pages: 273-291
• [Journal Article] 拡張Mertonモデルとその応用 (2008)
  • Author(s): 中村 信弘
  • Journal Title: ジャフィー・ジャーナル(金融工学と市場計量分析) Pages: 213-235
  • Peer Reviewed
• [Journal Article] Robust Con vergence Trading of Hedge Funds with Model Uncertainty under Partial Information (2007)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 28-th JAFEE meeting Pages: 277-296
• [Journal Article] Robust Convergence Trading of Hedge Funds with Event and Model Risks (2007)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 27-th JAFEE meeting Pages: 123-141
• [Journal Article] Robust Dynamic Asset Allocation under Inflation Risk (2007)
  • Author(s): Nobuhiro Nakamura
  • Journal Title: Proceedings of the 15th NFA meeting Pages: 268-277
• [Journal Article] Robust Dynamic Asset Allocation under Inflation Risk (2007)
  • Author(s): 中村信弘
  • Journal Title: Proceedings of the 15th NFA meeting Pages: 268-277
• [Journal Article] Robust Convergence Trading of Hedge Funds with Event and Model Risks (2007)
  • Author(s): 中村 信弘
  • Journal Title: Proceedings of the 27-th JAFEE meeting (2007: Summer) Pages: 123-141
• [Journal Article] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information (2007)
  • Author(s): 中村 信弘
  • Journal Title: Proceedings of the 28-th JAFEE meeting (2007: Winter) Pages: 277-296
• [Presentation] Robust Delegated Portfolio Management with Model Uncertainty (2009)
  • Author(s): Nobuhiro Nakamura
  • Organizer: JAFEE
  • Place of Presentation: 筑波大学(東京キャンパス)
  • Year and Date: 2009-01-30
• [Presentation] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Organizer: 第29回JAFEE大会
  • Place of Presentation: 成城大学
  • Year and Date: 2008-08-02
• [Presentation] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Organizer: JAFEE
  • Place of Presentation: 成城大学
  • Year and Date: 2008-08-02
• [Presentation] Search-Bas ed Liquidity Premium with Model Uncertainty, Asian Finance Association -Nippon Finance Association 2008 (2008)
  • Author(s): Shun Kobayashi, Nobuhiro Nak amura, Kazuhiko Ohashi
  • Organizer: International Conference
  • Place of Presentation: Pacifico Yokohama Conference Center
  • Year and Date: 2008-07-08
• [Presentation] Search-Based Liquidity Premium with Model Uncertainty(Shun Kobayashi, Nobuhiro Nakamura, Kazuhiko Ohashi) (2008)
  • Author(s): Shun Kobayashi
  • Organizer: Asian Finance Association-Nippon Finance Association 2008, International Conference
  • Place of Presentation: Pacifico Yokohama Conference Center
  • Year and Date: 2008-07-08
• [Presentation] Robust Delegated Portfolio Management with Model Uncertainty (2008)
  • Author(s): Nobuhiro Nakamura
  • Organizer: 第30回JAFEE大会
  • Place of Presentation: 筑波大学(東京キャンパス)
  • Year and Date: 2008-01-30
• [Presentation] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information (2007)
  • Author(s): Nobuhiro Nakamura
  • Organizer: 第28回JAFEE大会
  • Place of Presentation: 中央大学(駿河台記念館)
  • Year and Date: 2007-12-22
• [Presentation] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information (2007)
  • Author(s): 中村 信弘
  • Organizer: 日本金融・証券計量・工学学会
  • Place of Presentation: 中央大学
  • Year and Date: 2007-12-22
• [Presentation] Robust Convergence Trading of Hedge Funds with Event and Model Risks (2007)
  • Author(s): Nobuhiro Nakamura
  • Organizer: the 27-th JAFEE meeting, 第27回JAFEE大会
  • Place of Presentation: 明治大学(駿河台キャンパス)
  • Year and Date: 2007-08-02
• [Presentation] Robust Convergence Trading of Hedge Funds with Event and Model Risks, (2007)
  • Author(s): 中村 信弘
  • Organizer: 日本金融・証券計量・工学学会
  • Place of Presentation: 明治大学
  • Year and Date: 2007-08-02
• [Presentation] Robust Dynamic Asset Allocation under Inflation Risk (2007)
  • Author(s): Nobuhiro Nakamura
  • Organizer: 第15回日本ファイナンス学会
  • Place of Presentation: 慶応大学(三田キャンパス)
  • Year and Date: 2007-06-16
• [Presentation] Robust Dynamic Asset Allocation under Inflation Risk (2007)
  • Author(s): 中村 信弘
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 慶應義塾大学
  • Year and Date: 2007-06-16
• [Book] クレジットリスク (2009)
  • Author(s): D. Duffie, K. J. Singleton著本多俊樹, 上村昌司訳
  • Total Pages: 418
  • Publisher: 共立出版
• [Book] クレジットリスク(D.Duffie, K.J.Singleton)(翻訳)(本多俊樹)(著) (2008)
  • Author(s): 上村昌司(訳)
  • Total Pages: 418
  • Publisher: 共立出版
• [Remarks]
  • URL: http://www.ics.hit-u.ac.jp/jp/fs/faculty_detai1.php?id=77