Study on risk management with an imperfect trading strategy based on a uncertain market model

2014 Fiscal Year Final Research Report

• Project/Area Number: 23740080
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: Kyushu University
• Principal Investigator: MATSUMOTO Koichi 九州大学, 経済学研究科(研究院), 准教授 (30380687)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Keywords: 数理ファイナンス / 金融工学

Outline of Final Research Achievements

In a financial institution, a risk manager uses a mathematical model to represent the financial market. A risk manager plans and calculates an optimal trading strategy, based on the mathematical model. But it is impossible to know the true model of the market and it is difficult to realize the optimal strategy. In this study I assume that the market model is uncertain and a risk manager cannot realize his or her trading strategy perfectly. Under this condition, I consider how the market risk is managed. I study a multi-period risk measure, an optimal hedging strategy and how to measure the model risk.

Free Research Field

数物系科学