Pragmatic security invetment robust optmization model for financial institutions and institutional investors

2017 Fiscal Year Final Research Report

• Project/Area Number: 26380392
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Shiga University
• Principal Investigator: KUSUDA KOJI 滋賀大学, 経済学部, 教授 (90362368)
• Co-Investigator(Kenkyū-buntansha): 久保 英也 滋賀大学, 経済学部, 教授 (10362815)
• Research Collaborator: KIKUCHI Kentaro 滋賀大学, 経済学部, 教授 ; Batbold Bolorsuvd 滋賀大学, 大学院経済学研究科
• Project Period (FY): 2014-04-01 – 2018-03-31
• Keywords: 証券投資 / 確率制御 / 頑健制御

Outline of Final Research Achievements

Considering the stagnation of the national economic strategy “from savings to investment,” we constructed a household’s robust optimization model for consumption and long-term security investment in practically effective level in order to urge “from savings to investment.” Considering the financial institution’s huge loss in security investment at the global financial crisis, we also constructed a financial institution’s robust optimization model for security investment in practically effective level in order to raise the level of portfolio management at financial crises. We derived approximate analytical solution for robust optimal investment for both of models using high-level stochastic control.

Free Research Field

経済学　ファイナンス