Research on portfolio selection problems incorporating uncertainty of investment times

2023 Fiscal Year Final Research Report

• Project/Area Number: 19K01757
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Chiba Institute of Technology
• Principal Investigator: Xu Chunhui 千葉工業大学, 社会システム科学部, 教授 (70279058)
• Co-Investigator(Kenkyū-buntansha): 椎名 孝之 早稲田大学, 理工学術院, 教授 (90371666)
• Project Period (FY): 2019-04-01 – 2024-03-31
• Keywords: ポートフォリオ選択問題 / 投資時間の不確実性 / 市場リスク / PVaR / VaR

Outline of Final Research Achievements

The portfolio selection problem with unfixed investment times was studied from two directions.
1) By considering investment times as random variables, we proposed an investment evaluation method and portfolio optimization methods. Specifically, we suggested using the interval risk measure PVaR, recently proposed by the principal investigator, as an indicator to measure investment risk under the uncertainties of time and market, and using the expected return under the dual uncertainties as investment return. Based on this approach, we developed models and solving methods for the portfolio optimization problem.
2) By considering the investment end time as a decision variable, we proposed a simultaneous optimization method for both investment end time and allocation ratios. In particular, when measuring investment risk with VaR, we suggested an efficient method to solve the simultaneous optimization model.

Free Research Field

金融工学

Academic Significance and Societal Importance of the Research Achievements

現代ポートフォリオ選択理論(MPT)は投資時間が確定的なものという前提に成り立っているので、その適応範囲は投資時間確定の状況に限られている。本研究は投資時間非固定状況に適応する投資決定方法を提案したことで、理論的にMPTの適応範囲をより一般的な投資状況に拡大した。特に提案したPVaRは時間と市場の２重不確実性によるリスクが初めて測れるようになった。
投資時間非固定の状況はより一般的な投資状況であり、本研究はより一般的な投資状況に適応する投資評価方法と投資決定方法を提案したことで、より多くの投資実践で使える方法を提供した。