2009 Fiscal Year Final Research Report
Research on inflation indexed bonds and mathematical issues on financial theory
| Project/Area Number |
19530279
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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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 | Tokyo Metropolitan University |
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Principal Investigator |
TANAKA Keiichi Tokyo Metropolitan University, 大学院・社会科学研究科, 教授 (00381442)
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| Project Period (FY) |
2007 – 2009
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| Keywords | ファイナンス |
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| Research Abstract |
We have obtained an optimal portfolio including inflation indexed bonds and other securities under a setting of stochastic interest rate and market price of risk. Its contribution is the methodology by applying one used for interest rate models to the solution of the optimal portfolio problem. It enables us to build an optimal portfolio by filtering unobservable real interest rates and market prices of risks with the observation of security prices traded in the market.
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