Research to Build an Asset Management Model for Global Equity Management

2021 Fiscal Year Final Research Report

• Project/Area Number: 19K04888
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 25010:Social systems engineering-related
• Research Institution: Keio University
• Principal Investigator: Yamamoto Rei 慶應義塾大学, 理工学部(矢上), 准教授 (40756376)
• Co-Investigator(Kenkyū-buntansha): 枇々木 規雄 慶應義塾大学, 理工学部(矢上), 教授 (30245609)
• Project Period (FY): 2019-04-01 – 2022-03-31
• Keywords: 資産運用 / グローバル / 金融工学

Outline of Final Research Achievements

The purpose of this research is to improve the efficiency of public pension plan asset management by proposing an asset management method with high investment efficiency in the global market. We conducted three main studies: first, we proposed a portfolio management method based on the distribution of rates of return in the global market; second, we investigated the availability of supply-chain network information and text information as a new source of excess returns to improve investment efficiency; and third, we developed a highly accurate credit risk model when only limited financial information is available.
These researches reported as 11 peer-reviewed research papers, 21 conference presentations in Japan and abroad.

Free Research Field

金融工学

Academic Significance and Societal Importance of the Research Achievements

本研究の成果はどのテーマも高い学術的新規性を有しており、11本の査読付き研究論文、21件の学会発表として国内外で公表されている。
これらの研究のほとんどは実際の資産運用を意識した実用性の高い内容であり、運用機関は大きな負荷なく資産運用に組み入れることが可能である。公的年金の運用などを受託している運用機関が本研究成果を取り入れることで、運用収益の改善に繋がることが期待される。これは少子高齢化を迎える我が国において非常に有益な成果である。