2010 Fiscal Year Final Research Report
Study of long-term risk-sensitive portfolio optimization in non-standard settings
| Project/Area Number |
20540115
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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 |
General mathematics (including Probability theory/Statistical mathematics)
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| Research Institution | Kyoto University |
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Principal Investigator |
SEKINE Jun Kyoto University, 大学院・基礎工学研究科, 教授 (50314399)
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| Research Collaborator |
KAISE Hidehiro 名古屋大学, 情報科学研究科, 助教 (60377778)
HATA Hiroaki 静岡大学, 教育学部, 助教 (00609290)
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| Project Period (FY) |
2008 – 2010
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| Keywords | リスク鋭感的ポートフォリオ最適化 / 床制約 / 低下制約 / リスク回避極限 / 微分ゲーム / 長時間大偏差制御 |
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| Research Abstract |
(1) Long-term risk-sensitive portfolio optimizations are studied under floor constraint or/and a generalized drawdown constraint with a general market model, and optimal solutions and strategies are computed. (2) A similar problem is studied with a linear Gaussian factor model, and it is shown that nearly optimal strategies always exist even if the verification of the candidate strategy fails. (3) A differential game, obtained as a risk-averse limit, is studied, and an asymptotically optimal strategy is constructed from the saddle point of the game : this strategy effectively controls interest rate risk.
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