Optimal investment strategies with regime shifts
| Project/Area Number |
20510126
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | University of Tsukuba |
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Principal Investigator |
MAKIMOTO Naoki University of Tsukuba, 大学院・ビジネス科学研究科, 教授 (90242263)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2010: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 投資戦略 / 最適化 / ポートフォリオ / レジームシフト / ポートフォリオ選択 / 最適投資 / ベルマン方程式 / 執行戦略 / 極値理論 / リファイナンス |
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| Research Abstract |
In this research, we model the changes of the financial/economic environment as regime shifts and derived the optimal investment strategy by taking future regime shifts into account. Characteristics of the optimal investment strategy such as the effect of the model parameters are also investigated. Analyses based on actual regime shifts estimated from real data show the importance of introducing regime shifts in that it explains actual investment behavior more adequately and gives useful insight into practical investment management.
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Report
(4 results)
Research Products
(18 results)
