2001 Fiscal Year Final Research Report Summary
Empirical and theoretical studies of pension fund management
| Project/Area Number |
11430019
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Yokohama National University |
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Principal Investigator |
KURASAWA Motonari Yokohama National University, International Graduate School of Social Sciences, Professor, 国際社会科学研究科, 教授 (40018057)
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| Co-Investigator(Kenkyū-buntansha) |
AKIYAMA Taro Yokohama National University, Faculty of Economics, Professor, 経済学部, 教授 (40167854)
MORITA Hiroshi Yokohama National University, Faculty of Business Administration, Associate Professor, 経営学部, 助教授 (70239664)
HONDA Toshiki Hitotsubashi University, Graduate School of International Corporate Strategy, Associate Professor, 大学院・国際企業戦略研究科, 助教授 (70303063)
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| Project Period (FY) |
1999 – 2001
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| Keywords | pension / fund management / term structure / risk management / capital budgeting |
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| Research Abstract |
(1)Only specifying the endowment process as Ornstein-Uhlenbeck process, we investigate the forward rates in the equilibrium of pure exchange economy. Using forward measure and coefficient of relative risk aversion, the forward rates are expressed in simple form. In the case of decreasing relative risk aversion utility, the forward rates are positive almost surely, and the volatility is the convex combination of Vasicek type and HJM log normal type. This new term structure model is expected to be very useful in pension fund management.
(2)By integrated analysis of risk management and capital budgeting of financial institution, we derived general and consistent, but relatively simple evaluation criteria of risk management and capital budgeting.
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