2012 Fiscal Year Final Research Report
Evaluation method of risk and value under multi-dimensional Levy process models.
| Project/Area Number |
22540148
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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 | Nagoya City University |
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Principal Investigator |
MIYAHARA Yoshio 名古屋市立大学, 大学院・経済学研究科, 名誉教授 (20106256)
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| Co-Investigator(Renkei-kenkyūsha) |
MISAWA Tetsuya 名古屋市立大学, 大学院・経済学研究科, 教 授 (10190620)
TSUJII Yoshiki 京都産業大学, 理学部, 教授 (90065871)
TSUDA Hirishi 同志社大学, 理工学部, 教授 (90450163)
FUJIWARA Tsukasa 兵庫教育大学, 大学院・学校教育研究科, 教授 (30199385)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 多次元レヴィ過程 / 規模のリスク / リスク鋭感的価値尺度 / ポートフォリオの評価 / プロジェクトの評価 |
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| Research Abstract |
W e have investigated value measures for the evaluation of financial assets. We have introduced the “risk sensitive value measure (RSVM)”, and studied some properties of this value measure. We have found that the RSVM has many good properties, for example, this measure is evaluating both the risk and the value of an asset, and this measure can be applied to the evaluation of scale risk of an asset. We have showed that this value measure can be extended into the dynamic form, and we have given some examples of the methods how to apply this value measure to practical evaluation problems.
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