A study on the optimal investment action policies on Imperfect Rational Expectations

2014 Fiscal Year Final Research Report

• Project/Area Number: 24530371
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Kinjo Gakuin University
• Principal Investigator: NAKAMURA Syouji 金城学院大学, 生活環境学部, 教授 (30350953)
• Co-Investigator(Kenkyū-buntansha): NAKAGAWA Toshio 愛知工業大学, 経営学部, 教授 (60076544) ; KONDO Hitoshi 南山大学, 経済学部, 教授 (60121456) ; NAKAYAMA Keiko 中京大学, 経済学部, 教授 (90207944)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 金融工学 / 不完全合理的期待 / 完全予防保全 / 確率過程 / 信頼性理論

Outline of Final Research Achievements

In this study, we focused on incomplete information model to apply the Imperfect Rational Expectations to the investment behavior. We apply the incomplete preventive maintenance to the Imperfect Rational Expectations that Kijima Masaaki and Nakagawa Toshio was proposed in E JOR, 57 [1992]. In particular, we have tried to apply in a computer system. In the computer system, since the impact of fluctuations human impact is small, to optimize the objective function of the investment behavior by the concept of Imperfect Rational Expectations. We were planning to try to build a investment and financing model by these results.

Free Research Field

金融工学,信頼性理論