| Budget Amount *help |
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Outline of Final Research Achievements |
We study the risk management and optimal asset allocation problems
as applications of the stochastic copula model, in which tail-dependence parameters change stochastically. Employing the Hamiltonian Monte Carlo (HMC) method for their statistical estimations we demonstrate the effectiveness of the HMC method. In the optimal asset allocation problems, we deal with tail risk parity (TRP) investment in which the downside risk is distributed equally among assets, and dynamic investment when there are multiple cointegrating relationships between asset classes. Furthermore, we study the stochastic copula model using realized measures calculated from high-frequency data analysis, and the stochastic volatility model with a jump with self-exciting intensity for modelling VIX.
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