| Budget Amount *help |
¥3,760,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥660,000)
Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2007: ¥900,000 (Direct Cost: ¥900,000)
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| Research Abstract |
It is new and important to study illiquid assets from a mathematical viewpoint. In this study, I have considered three basic financial problems using mathematical models such as a stochastic trade times model. I have solved an optimal portfolio problem, a hedging problem and a risk management problem. Further I have studied an associated computational problem. The results have characterized the influence of the liquidity on investors.
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