Control variate method for financial time series models and optimal portfolio

• Project/Area Number: 26730018
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Statistical science
• Research Institution: The University of Electro-Communications (2015-2017); Wakayama University (2014)
• Principal Investigator: Amano Tomoyuki 電気通信大学, 大学院情報理工学研究科, 准教授 (40514451)
• Project Period (FY): 2014-04-01 – 2018-03-31
• Project Status: Completed (Fiscal Year 2017)
• Budget Amount: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000); Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: 制御変数法 / 時系列 / 最適ポートフォリオ

Outline of Final Research Achievements

Control variate method was investigated by Lavenberg etc. and widely used to improve estimators. However this method has been developed mainly in i.i.d. cases.We　proposed control variate estimator for stationary processes　and derived the asymptotics.　However this proposed estimator is constructed for scalar-valued processes and many data are vector-valued statinary processes.　Hence in this research, we proposed control variate estimator for vector-valued stationary processes and derived the asymptotics.　Furthermore we applied control variate method to optimal portfolio and derived asymptotics.

Research Products

• [Presentation] Analysis of CL and Estimating Function Estimators for Financial Time Series Models (2015)
  • Author(s): T. Amano
  • Organizer: Miura Statistical Seminar
  • Place of Presentation: Hotel Maholova, Miura Peninsula(神奈川県三浦市)
  • Year and Date: 2015-03-07
• [Presentation] Control variate method for time series (2015)
  • Author(s): T. Amano, M. Taniguchi
  • Organizer: Waseda International Symposium
  • Place of Presentation: 早稲田大学(東京都新宿区)
  • Year and Date: 2015-03-04
• [Presentation] Control variate method for time series (2014)
  • Author(s): T. Amano, M. Taniguchi
  • Organizer: ims-APRM2014
  • Place of Presentation: Howard International House, Taipei, Taiwan
  • Year and Date: 2014-06-30
• [Book] Statistical Inference for Financial Engineering. SpringerBriefs in Statistics (2014)
  • Author(s): M. Taniguchi, T. Amano, H. Ogata, H. Taniai
  • Total Pages: 118
  • Publisher: Springer