2013 Fiscal Year Final Research Report
Development of New Performance Measurements considered of Higher Order Moments
| Project/Area Number |
23530377
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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 |
Public finance/Monetary economics
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| Research Institution | Kinki University (2013)
Kochi University of Technology (2011-2012) |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
TAKAHASHI Akihiko 東京大学, 経済学部, 教授 (50313226)
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| Project Period (FY) |
2011 – 2013
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| Keywords | 高次モーメント / 行動ファイナンス / プロスペクト・レシオ / 歪度 / 尖度 |
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| Research Abstract |
I indicate New Prospect ratio which considers skewness and kurtosis into one single measure in performance measurement. This ratio includes behavioral finance approach and the empirical results are almost same with the ones that I
executed in Watanabe(2006). The results of research are presented in international Finance Conferences and the latest paper will be published in the Journal of Performance Measurement.The final aim to make a single measure considered skewness and kurtosis was successfully accomplished during the research period.
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