Risk analysis for the evaluation of investment in the framework of stochastic dynamical theory

2014 Fiscal Year Final Research Report

• Project/Area Number: 24540136
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: General mathematics (including Probability theory/Statistical mathematics)
• Research Institution: Nagoya City University
• Principal Investigator: MISAWA Tetsuya 名古屋市立大学, 経済学研究科(研究院), 教授 (10190620)
• Co-Investigator(Kenkyū-buntansha): MIYAHARA Yoshio 名古屋市立大学, 大学院経済学研究科, 名誉教授 (20106256) ; MIYAUCHI Hajime 熊本大学, 大学院自然科学研究科, 准教授 (20181977)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 確率力学系 / リスク / 期待効用無差別価格 / プロジェクト事業投資 / リスク鋭感的価値尺度 / ランダムNPV / 規模のリスク / 発電事業

Outline of Final Research Achievements

The present study focuses on the evaluation of financial assets and project investment with risks on the basis of stochastic dynamical theory. The net present value of the time series of cash flow with uncertainty from an investment, called a random net present value (RNPV), is regarded as a stochastic dynamical system. The risk-sensitive value measure （RSVM）is formulated by utility indifference pricing which is regarded as an “invariance” for the stochastic system, and RNPV probit model is derived from the approximation of RSVM. In the framework, the following results have been obtained: (1) We have shown that the measure is effective for the valuation of scale risk or the evaluation of catastrophe bond. (2) Through the application to evaluation of thermal and solar power plant projects, we have examined that the RSVM and RNPV probit model are suited to practical use. As a topic related to (2), we have also quantitatively investigated electric power market price in Japan.

Free Research Field

確率論