Advanced study on risk analysis for the evaluation of investment in the framework of stochastic dynamical theory

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K04933
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Basic analysis
• Research Institution: Nagoya City University
• Principal Investigator: Misawa Tetsuya 名古屋市立大学, 大学院経済学研究科, 教授 (10190620)
• Co-Investigator(Kenkyū-buntansha): 宮原 孝夫 名古屋市立大学, 大学院経済学研究科, 名誉教授 (20106256) ; 宮内 肇 熊本大学, 大学院先端科学研究部(工), 准教授 (20181977)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 確率系 / 期待効用無差別価格 / リスク鋭感的価値尺度 / 最適投資規模 / 内部リスク回避度 / ランダムNPVプロビットモデル / プロジェクト事業価値評価 / 電力供給信頼度指標

Outline of Final Research Achievements

The present study focuses on the evaluation of financial assets and project investment with risks on the basis of stochastic dynamical theory. The net present value of cash flow with uncertainty from an investment, called a random net present value (RNPV), is regarded as a stochastic dynamical system. The risk-sensitive value measure （RSVM）is formulated by utility indifference pricing which is regarded as an “invariance” for the stochastic system, and RNPV probit model is derived from the approximation of RSVM. In the framework, we have confirmed the effectiveness of the RSVM for various investment areas with random risks. Through the application to evaluation of photovoltaic system and wind turbine generation project, we have examined that the RSVM and RNPV probit model are suited to practical use. We also have shown that RSVM can be used as the reliability index on the power system, and investigated a reliability of the power system in a small isolated island by RSVM.

Free Research Field

統計数理、投資工学