PRACTICAL ASSET MANAGEMENT MODEL FOR OPTIMAL REBALANCING STRATEGY

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K01201
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Keio University
• Principal Investigator: HIBIKI NORIO 慶應義塾大学, 理工学部(矢上), 教授 (30245609)
• Co-Investigator(Kenkyū-buntansha): 今井 潤一 慶應義塾大学, 理工学部(矢上), 教授 (10293078) ; 山本 零 武蔵大学, 経済学部, 准教授 (40756376)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 資産運用 / 多期間最適化 / 収益率分布

Outline of Final Research Achievements

In this paper, we formulate the practical models for optimal asset allocation, retirement planning, optimal execution strategy of stocks, and optimal pair trading strategy, respectively. We examine the numerical examples for above-mentioned models. We estimate the implied distribution in order to estimate forward looking distribution, and develop the method of estimating the real world distribution stably, through the risk adjustment based on the Ross recovery theorem(2015) and the generalized recovery theorem by Jensen et al.(2017).

Free Research Field

金融工学