• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Theory and applications of performance measures

Research Project

Project/Area Number 22K01586
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07060:Money and finance-related
Research InstitutionNagoya University of Commerce & Business

Principal Investigator

程島 次郎  名古屋商科大学, 経済学部, 教授 (30181514)

Co-Investigator(Kenkyū-buntansha) 山分 俊幸  名古屋商科大学, 経済学部, 教授 (40434592)
Project Period (FY) 2022-04-01 – 2025-03-31
Project Status Granted (Fiscal Year 2023)
Budget Amount *help
¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2024: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2023: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2022: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
KeywordsPerformance measure / 期待効用最大化 / 計量ファイナンス / 計量経済学 / 実証研究 / 理論研究 / 統計学 / Aumann-Serrano index / Foster-Hart index / 確率過程 / シミュレーション
Outline of Research at the Start

Aumann and Serrano (2008)とFoster and Hart (2009)で提案されたrisk measuresに基づいた
performance measuresとは、これらのrisk measuresの逆数として定義され、Kadan and Liu
(2014)が最初に考えた。本研究は、これらのperformance measuresに関する、(1)staticな問題の深堀、(2)DGP(data-generating process)に時系列構造を持っている場合の展開、(3)新たな実証研究、を行う。

Outline of Annual Research Achievements

以下の論文、Jiro Hodoshima. 2024. The Aumann-Serrano performance index of DOW 30 components and Dow Jones Industrial Average before and after the global financial crisis. Far East Journal of Theoretical Statistics 68, No.1, 53-79.
を出版した。
以下の論文、Toshiyuki Yamawake, Joseph Sheely, Roberto Serrano, Jiro Hodoshima. 2023. Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness. を2023年9月5日の統計関連学会連合大会で報告した。
また、上記の論文を専門雑誌に投稿して、改定するように指示を受けたため、共同研究者と改定作業を行った。

Current Status of Research Progress
Current Status of Research Progress

2: Research has progressed on the whole more than it was originally planned.

Reason

1つの論文を出版した。また、現在進行中の研究を、学会で発表した。また、その現在進行中の研究を論文にまとめて、専門雑誌に投稿して、改定するよう指示を受けたので。また、来年度に向けての研究計画もできているので。

Strategy for Future Research Activity

昨年度に改定作業を行っていた研究を終了して、論文の改定作業を終了すること。その研究で、標本期間を変えて、結果を出して、可能なら新しい論文とする。

統計学のInfluence functionのアプローチをパフォーマンス尺度に応用して、新しい見方を提供する。

Report

(2 results)
  • 2023 Research-status Report
  • 2022 Research-status Report
  • Research Products

    (8 results)

All 2024 2023 2022 Other

All Int'l Joint Research (2 results) Journal Article (3 results) (of which Peer Reviewed: 3 results) Presentation (2 results) Remarks (1 results)

  • [Int'l Joint Research] Brown University(米国)

    • Related Report
      2023 Research-status Report
  • [Int'l Joint Research] Brown University(米国)

    • Related Report
      2022 Research-status Report
  • [Journal Article] THE AUMANN-SERRANO PERFORMANCE INDEX OF DOW 30 COMPONENTS AND DOW JONES INDUSTRIAL AVERAGE BEFORE AND AFTER THE GLOBAL FINANCIAL CRISIS2024

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 68 Issue: 1 Pages: 53-79

    • DOI

      10.17654/0972086324004

    • Related Report
      2023 Research-status Report
    • Peer Reviewed
  • [Journal Article] Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes2022

    • Author(s)
      Hodoshima Jiro、Yamawake Toshiyuki
    • Journal Title

      International Review of Financial Analysis

      Volume: 83 Pages: 1022-1032

    • DOI

      10.1016/j.irfa.2022.102232

    • Related Report
      2022 Research-status Report
    • Peer Reviewed
  • [Journal Article] Utility indifference pricing and mean-variance approach when the degree of risk aversion is small2022

    • Author(s)
      Jiro Hodoshima
    • Journal Title

      Far East Journal of Theoretical Statistics

      Volume: 66 Pages: 135-146

    • DOI

      10.17654/0972086322016

    • Related Report
      2022 Research-status Report
    • Peer Reviewed
  • [Presentation] Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness2023

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Related Report
      2023 Research-status Report
  • [Presentation] Temporal aggregation of the Aumann--Serrano and Foster--Hart performance indexes2022

    • Author(s)
      Jiro Hodoshima
    • Organizer
      統計関連学会連合大会
    • Related Report
      2022 Research-status Report
  • [Remarks]

    • URL

      https://www.nucba.ac.jp/economics/faculty/hodoshima_jiro.html

    • Related Report
      2022 Research-status Report

URL: 

Published: 2022-04-19   Modified: 2024-12-25  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi