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2013 Fiscal Year Final Research Report

Evaluation of risk premium in financial market and its application to asset pricing and risk management

Research Project

  • PDF
Project/Area Number 22510143
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionThe University of Electro-Communications

Principal Investigator

MIYAZAKI Koichi  電気通信大学, 情報理工学(系)研究科, 教授 (10334575)

Project Period (FY) 2010-04-01 – 2014-03-31
Keywords金融経済学
Research Abstract

In this research, we firstly estimate equity risk premium in the frame of consumption-based capital asset pricing model with the risk preference of investors. In Japan, we find that the consecutive decline of the equity market is due to the low growth of the economy. We also propose portfolio strategy using the beta-risk model and examine the performance of the model. Secondly, as the related major results, we evaluate the risk premium of various kinds of risk factors such as the liquidity risk, the inflation risk and so on from financial market or macro-economic data and utilize them in asset pricing or risk management.

  • Research Products

    (13 results)

All 2013 2012 2011 2010

All Journal Article (8 results) (of which Peer Reviewed: 4 results) Presentation (5 results)

  • [Journal Article] 日本株式ポートフォリオのリスク管理におけるジャンプ成分と拡散成分の影響2013

    • Author(s)
      竹俣潤, 宮﨑浩一
    • Journal Title

      情報処理学会論文誌数理モデル化と応用

      Volume: Vol.6 No.2 Pages: 1-15

    • Peer Reviewed
  • [Journal Article] A Simple Mean-variance Model for Equities and Equity Options under Inflation Rate Dynamics, Journal of Japan Industrial Management Association2013

    • Author(s)
      Ren,Y. and K. Miyazaki
    • Journal Title

      Refereed

      Volume: Vol.64, No.2E Pages: 272-283

  • [Journal Article] 資産評価モデルにおける短期・長期ボラティリティの影響2012

    • Author(s)
      小林寛司, 宮﨑浩一
    • Journal Title

      情報処理学会論文誌数理モデル化と応用

      Volume: Vol.5 No.1 Pages: 9-20

    • Peer Reviewed
  • [Journal Article] 流動性リスクと株価リターン:レジームスイッチングモデルによる検証2012

    • Author(s)
      伊東賢二, 宮﨑浩一, 回渕純治
    • Journal Title

      情報処理学会論文誌数理モデル化と応用

      Volume: Vol.5 No.2 Pages: 1-15

    • Peer Reviewed
  • [Journal Article] 日本国債市場におけるレジームスイッチングモデルを用いた実質金利・期待インフレ率・インフレリスクプレミアムの推定2012

    • Author(s)
      岩井邦紘, 宮﨑浩一
    • Journal Title

      京都大学数理解析研究所講究録

      Volume: 1802 Pages: 235-241

  • [Journal Article] 日本株式市場における経済レジームファクターの役割2012

    • Author(s)
      徳永拓也, 宮﨑浩一
    • Journal Title

      京都大学数理解析研究所講究録

      Volume: 1818 Pages: 47-67

  • [Journal Article] Deterministic Volatility Models and Dynamics of Options Returns2011

    • Author(s)
      Yamamoto,T. and K. Miyazaki
    • Journal Title

      JSIAM Letters, Refereed

      Volume: Vol3 Pages: 57-60

  • [Journal Article] 日本におけるマクロ経済リスクと株式市場―ベータリスクモデルの提案と実証分析2010

    • Author(s)
      山本篤, 宮﨑浩一
    • Journal Title

      情報処理学会論文誌数理モデル化と応用

      Volume: Vol.3 No.3 Pages: 117-131

    • Peer Reviewed
  • [Presentation] Stock Characteristics and Transaction Cost in Japanese Stock Market2012

    • Author(s)
      Mawaribuchi. J, Miyazaki, k.
    • Organizer
      The IEEE International Conference on Industrial Engineering and Engineering Management
    • Year and Date
      2012-12-12
  • [Presentation] インフレーションが社債や株式の信用力に与える影響に関する研究2012

    • Author(s)
      佐藤賢, 宮﨑浩一
    • Organizer
      情報処理学会
    • Place of Presentation
      (研究報告2012-MPS-91, 1-4)
    • Year and Date
      2012-12-07
  • [Presentation] 株式市場の流動性指標と景気循環2012

    • Author(s)
      岩井邦紘, 宮﨑浩一
    • Organizer
      平成24年度日本経営工学会秋季研究大会
    • Place of Presentation
      (pp.228-229)
    • Year and Date
      2012-11-18
  • [Presentation] 日本におけるマクロ経済リスクとポートフォリオ戦略2012

    • Author(s)
      山本篤, 宮﨑浩一
    • Organizer
      第18回社会情報システム学シンポジウム
    • Place of Presentation
      (pp.103-108)
    • Year and Date
      2012-01-26
  • [Presentation] Simple Portfolio Strategies Utilizing Inflation Factor in Japanese Equity Market2011

    • Author(s)
      Sato, K., Miyazaki K., Mawaribuchi. J
    • Organizer
      ICCS2011(International Conference on Computational Science) Procedia Computer Science
    • Year and Date
      2011-06-03

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Published: 2015-07-16  

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