2011 Fiscal Year Final Research Report
A Framework for Pricing and Measuring Risk of Financial Assets and Real Estate subject to Regime Switching
| Project/Area Number |
21710159
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Chuo University |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
MAEDA Akira 東京大学, 教養学部附属教養教育高度化機構 (30317309)
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| Project Period (FY) |
2009 – 2011
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| Keywords | ファイナンス / レジーム・スイッチング / 資産価格評価 / 不動産 / ポートフォリオ選択 / 隠れマルコフモデル / 因子分析と回帰分析 / 混合効果モデル |
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| Research Abstract |
We study about pricing and measuring risk of financial assets and real estate subject to regime switching. These financial assets and real estate are the typical risky assets that most of the firm owns. One of the sources of those prices and risks may be derived from the unobservable economic regimes such as booms and recessions. We develop a theory how these regimes may affect the price and risk on the firm. We then proceed to conduct empirical analyses to show it works.
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Research Products
(18 results)
