2013 Fiscal Year Final Research Report
Research on financial risk management methods based on new risk measures and their applications
| Project/Area Number |
23510181
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Chiba Institute of Technology |
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Principal Investigator |
XU Chunhui 千葉工業大学, 社会システム科学部, 教授 (70279058)
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| Co-Investigator(Renkei-kenkyūsha) |
ANDO Masakazu 千葉工業大学, 社会システム科学研究科, 准教授 (00462169)
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| Research Collaborator |
WANG Shuning (中国)清華大学, 教授
HUANG Min (中国)東北大学, 教授
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| Project Period (FY) |
2011 – 2013
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| Keywords | 最適資産運用 / 金融リスク / VaR / PVaR / 仕組債 |
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| Research Abstract |
We got the following results in this research project (1)We proposed effective solution methods for solving portfolio optimization models with risk measured by VaR. Especially, we showed that VaR minimization model can be solved by solving a series of linear programming models, and proposed an algorithm for solving the model. (2)We formulated the design problem of structured products with market risk measured by VaR, and proposed methods for solving these models.
(3)For measuring financial risk during a period of future time, we proposed and formulated the notion of Period Value at Risk(PVaR). To create a financial investment theory based on PVaR, we started to explore methods for computing PVaR and for solving portfolio optimization models with PVaR included.
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