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Research on financial risk management methods based on new risk measures and their applications

Research Project

Project/Area Number 23510181
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionChiba Institute of Technology

Principal Investigator

XU Chunhui  千葉工業大学, 社会システム科学部, 教授 (70279058)

Co-Investigator(Renkei-kenkyūsha) ANDO Masakazu  千葉工業大学, 社会システム科学研究科, 准教授 (00462169)
Research Collaborator WANG Shuning  (中国)清華大学, 教授
HUANG Min  (中国)東北大学, 教授
Project Period (FY) 2011 – 2013
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Keywords最適資産運用 / 金融リスク / VaR / PVaR / 仕組債 / 金融投資リスク / 期間リスク / ポートフォリオ最適化 / リスク測定指標 / 国際情報交換 / VaRの最小化 / 国際情報交流
Research Abstract

We got the following results in this research project (1)We proposed effective solution methods for solving portfolio optimization models with risk measured by VaR. Especially, we showed that VaR minimization model can be solved by solving a series of linear programming models, and proposed an algorithm for solving the model. (2)We formulated the design problem of structured products with market risk measured by VaR, and proposed methods for solving these models.
(3)For measuring financial risk during a period of future time, we proposed and formulated the notion of Period Value at Risk(PVaR). To create a financial investment theory based on PVaR, we started to explore methods for computing PVaR and for solving portfolio optimization models with PVaR included.

Report

(4 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (20 results)

All 2014 2013 2012 2011

All Journal Article (8 results) (of which Peer Reviewed: 8 results) Presentation (12 results) (of which Invited: 1 results)

  • [Journal Article] Period Value at Risk and its Estimation by Simulation2014

    • Author(s)
      Y. Huo, C. Xu, K.Osaka, M. Huang
    • Journal Title

      Information

      Volume: Vol. 17, No. 6(B)

    • NAID

      40022664212

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Period Value at Risk and its Estimation by Simulation2014

    • Author(s)
      Yanli Huo, Chunhui Xu, Kuohei Osaka, Min Huang
    • Journal Title

      Information

      Volume: 未定

    • NAID

      40022664212

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Minimization of the k-th Maximum and its application on LMS regression and VaR optimization2012

    • Author(s)
      X. Huang, J. Xu, S.Wang, C. Xu
    • Journal Title

      Journal of The Operational Research Society

      Volume: Vol. 63, No. 11 Pages: 1479-1491

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Minimization of the k-th Maximum and its application on LMS regression and VaR optimization2012

    • Author(s)
      X. Huang, J.Xu, S.Wang, C. Xu
    • Journal Title

      Journal of The Operational Research Society

      Volume: 63 Issue: 11 Pages: 1479-1491

    • DOI

      10.1057/jors.2011.163

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] Design of Equility-linked Structured Products with VaR as Risk Measure2011

    • Author(s)
      P. R. C. Aguilar, C. Xu
    • Journal Title

      ICIC Express Letters

      Volume: Vol. 5, No. 5 Pages: 1747-1752

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] An Optimization Method for Determining LIBOR-linked Notes Based on the Issuer's Interest2011

    • Author(s)
      W. Zhao, C. Xu
    • Journal Title

      ICIC Express Letters

      Volume: Vol. 5, No. 5 Pages: 1753-1756

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Design of Life Insurance Participating Policies with Variable Guarantees and Annual Premium2011

    • Author(s)
      P. R. C. Aguilar, C. Xu
    • Journal Title

      International Journal of Innovative Computing, Information and Control

      Volume: Vol. 7, No. 8 Pages: 4741-4753

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Design of Life Insurance Participating Policies with Variable Guarantees and Annual Premium2011

    • Author(s)
      P.R.C. Aguilar, C. Xu
    • Journal Title

      International Journal of Innovative Computing, Information and Control

      Volume: 7 Pages: 4741-4753

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Presentation] Financial Investment Problems with uncertain Investment Deadline and their Resolution Methods2013

    • Author(s)
      C. Xu, Y. Huo
    • Organizer
      Proceedings of the Asian Conference of Management Science and Applications
    • Place of Presentation
      Kunming, China
    • Year and Date
      2013-12-22
    • Related Report
      2013 Final Research Report
  • [Presentation] 金融投資意思決定モデルの再考2013

    • Author(s)
      徐 春暉
    • Organizer
      経営情報学会秋季全国大会予稿集
    • Place of Presentation
      神戸
    • Year and Date
      2013-10-26
    • Related Report
      2013 Final Research Report
  • [Presentation] Financial Investment Problems with Uncertain Investment Deadline and Their Resolution Methods2013

    • Author(s)
      Chunhui Xu, Yanli Huo
    • Organizer
      Asian Conference of Management Science and Applications
    • Place of Presentation
      Kunming City, China
    • Related Report
      2013 Annual Research Report
  • [Presentation] Measuring Financial Market Risk in a Time Span by Simulation2012

    • Author(s)
      C. Xu, Y. Huo, A. Inoue
    • Organizer
      Proceedings of the Asia Pacific Industrial Engineering & Management Systems Conference
    • Place of Presentation
      Phuket, Thailand
    • Year and Date
      2012-12-04
    • Related Report
      2013 Final Research Report
  • [Presentation] Market risk management based on Value at Risk2012

    • Author(s)
      C. Xu
    • Organizer
      the Asian Workshop on Real Investment Strategy and Risk Analysis
    • Place of Presentation
      Waseda University
    • Year and Date
      2012-11-04
    • Related Report
      2013 Final Research Report
    • Invited
  • [Presentation] Period Value at Risk and Its Estimation by Simulation2012

    • Author(s)
      C. Xu, Y. Huo, K. Osaka
    • Organizer
      Proceedings of the Asian Conference of Management Science and Applications
    • Place of Presentation
      Sichuan, China
    • Year and Date
      2012-09-07
    • Related Report
      2013 Final Research Report
  • [Presentation] Measuring Financial Market Risk in a Time Span by Simulation2012

    • Author(s)
      Xu,C., Huo, YL
    • Organizer
      Proceedings of the Asia Pacific Industrial Engineering and Management Systems Conference 2012(CD-ROM)
    • Place of Presentation
      Phuket, Thailand
    • Related Report
      2012 Research-status Report
  • [Presentation] PERIOD VALUE AT RISK AND ITS ESTIMATION BY SIMULATION2012

    • Author(s)
      2.Xu, C., Huo,YL, Osaka, K.
    • Organizer
      Proceedings of the Asian Conference of Management Science and Applications 2012(CD-ROM)
    • Place of Presentation
      Sichuan, China
    • Related Report
      2012 Research-status Report
  • [Presentation] A Survey of Methods for Solving VaR-based Portfolio Selection Models2011

    • Author(s)
      Y. Huo, C. Xu, A. Inoue
    • Organizer
      Proceedings of the Asian Conference of Management Science and Applications
    • Place of Presentation
      Sanya, China
    • Year and Date
      2011-12-22
    • Related Report
      2013 Final Research Report
  • [Presentation] Solving VaR minimization models with linear programming techniques2011

    • Author(s)
      C. Xu, X. Huang, Y. Huo, S. Wang
    • Organizer
      Presentation at International Conference on Operations Research (1st paper in Session TA-17,"VaR, risk measures and portfolio insurance")
    • Place of Presentation
      Zurich, Switzerland
    • Year and Date
      2011-09-01
    • Related Report
      2013 Final Research Report
  • [Presentation] A Survery of Methods for Solving VaR-based Portfolio Selection Models2011

    • Author(s)
      Y. Huo, C. Xu, A. Inoue
    • Organizer
      Asian Conference of Management Science and Applications 2011
    • Place of Presentation
      Hainan, China
    • Related Report
      2011 Research-status Report
  • [Presentation] Solving VaR minimization models with linear programming techniques2011

    • Author(s)
      C. Xu, X. Huang, Y. Huo, S. Wang
    • Organizer
      OR2011, International Conference on Operations Research
    • Place of Presentation
      Zurich, Switzerland
    • Related Report
      2011 Research-status Report

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Published: 2011-08-05   Modified: 2019-07-29  

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