Optimal investment strategies with regime shifts

• Project/Area Number: 20510126
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: University of Tsukuba
• Principal Investigator: MAKIMOTO Naoki University of Tsukuba, 大学院・ビジネス科学研究科, 教授 (90242263)
• Project Period (FY): 2008 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥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)
• 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

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.

Research Products

• [Journal Article] Dynamic investment strategy for factor portfolios with regime switches (2011)
  • Author(s): 小松高広・牧本直樹
  • Journal Title: 京都大学数理解析研究所講究録
• [Journal Article] 銀行間資金決済ネットワークにおける最適決済行動と流動性節約効果 (2011)
  • Author(s): 牧本直樹
  • Journal Title: 金融研究 Volume: 30 Pages: 75-123
  • NAID: 40017661743
  • Peer Reviewed
• [Journal Article] 条件付き相関について (2011)
  • Author(s): 牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート Volume: 261 Pages: 71-82
• [Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数 (2010)
  • Author(s): 小松高広・牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート Vol.246 Pages: 80-94
• [Journal Article] Optimal execution of multiasset block orders under stochastic liquidity (2010)
  • Author(s): N.Makimoto, Y.Sugihara
  • Journal Title: IMES Discussion Paper Series Volume: 2010-E-25 Pages: 1-33
• [Journal Article] Optimal execution of multi-asset block orders under stochastic liquidity (2010)
  • Author(s): 牧本直樹・杉原慶彦
  • Journal Title: 京都大学数理解析研究所講究録 1675 Pages: 185-198
• [Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数 (2010)
  • Author(s): 小松高広・牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート 246 Pages: 80-94
• [Journal Article] ファクターリターンモデルの極値分析 (2009)
  • Author(s): 小松高広 牧本直樹
  • Journal Title: 統認数理研究所共同研究リポート「極値理論の工学への応用」 224 Pages: 34-49
• [Journal Article] Optimal time to invest under uncertainty with a scale change (2008)
  • Author(s): 小松高広
  • Journal Title: Journal of the Operations Research Society of Japan Vol.51 Pages: 225-240
  • Peer Reviewed
• [Journal Article] Optimal mortgage refinancing with regime switches (2008)
  • Author(s): 小松高広・牧本直樹
  • Journal Title: Asia-Pacific Financial Markets Vol.15 Pages: 47-65
  • Peer Reviewed
• [Journal Article] Optimal time to invest under uncertainty with a scale change (2008)
  • Author(s): Naoki Makimoto
  • Journal Title: Journal of the Operations Research Society of Japan 51 Pages: 225-240
  • NAID: 110006884640
  • Peer Reviewed
• [Journal Article] Optimal mortgage refinancing with regime switches (2008)
  • Author(s): Toshio Kimura Naoki Makimoto
  • Journal Title: Asia-Pacific Financial Markets 15 Pages: 47-65
  • Peer Reviewed
• [Presentation] Dynamic investment strategy for factor portfolios with regime switches (2010)
  • Author(s): T.Komatsu, N.Makimoto
  • Organizer: ファイナンスの数理解析とその応用
  • Place of Presentation: 京都大学
  • Year and Date: 2010-11-24
• [Presentation] 条件付き相関について (2010)
  • Author(s): 牧本直樹
  • Organizer: 極値理論の工学への応用
  • Place of Presentation: 統計数理研究所
• [Presentation] Optimal execution strategy with stochastic liquidity and recursive market impact (2009)
  • Author(s): 牧本直樹
  • Organizer: ファイナンスのための数理ワークショップ
  • Place of Presentation: 早稲田大学
  • Year and Date: 2009-09-25
• [Presentation] Optimal investment with direct preference for wealth, higher borrowing rate, and regime switches (2009)
  • Author(s): Toshio Kimura, Naoki Makimoto
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 青山学院大学
• [Presentation] Optimal mortgage refinancing with regime switches (2008)
  • Author(s): Toshio Kimura Naoki Makimoto
  • Organizer: AsianFA-NFA 2008 International Conference
  • Place of Presentation: パシフィコ横浜
  • Year and Date: 2008-07-08
• [Remarks] ホームページ等
  • URL: http://www.gssm.otsuka.tsukuba.ac.jp/professor/makimoto.html