Quantitative Evaluation of Financial Risk
Quantitative Evaluation of Financial Risk
批准号:
11558046
负责人:
KONNO Hiroshi
金额:
$8.38万
依托单位国家:
日本
项目类别:
Grant-in-Aid for Scientific Research (B)
财政年份:
1999
资助国家:
日本
项目状态:
已结题
起止时间:
1999 至 2001
中文摘要
1.故障判别分析2.故障概率的估计3.期权定价的边界4.最大可预测性投资组合5.模拟衍生品定价6.财务优化的全局优化方法7.金融工程商业方法专利8.金融优化问题中半定规划的算法
英文摘要
1. Failure Discriminant Analysis2. Estimation of Failure Probability3. Bounding Option Price4. Maximal Predictability Portfolio5. Pricing Derivatives by Simulation6. Global Optimization Methods for Financial Optimization7. Business Method Patent for Financial Engineering8. Algorithm for Semi-Definite Programming Arising in Financial Optimization
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Konno, H., Kobayashi, H.: "Failure Discrimination and Rating of Enterprises by Semi-Definite Programming"Pacific Financial Markets. 7. 261-273 (2000)
Konno, H.、Kobayashi, H.:“通过半定规划对企业进行故障判别和评级”太平洋金融市场。
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Gotoh, J., Konno, H.: ""Bounding Option Price by Semi-Definite Programming""to appear in Management science. (2002)
Gotoh, J.、Konno, H.:““通过半定规划限制期权价格””出现在管理科学中。
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Konno H.: "Minimization of the Sum of Several Linear Fractional Functions"CRAFT Working Paper. 99-5. (1999)
Konno H.:“几个线性分数函数之和的最小化”CRAFT 工作论文。
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Gotoh J. and Konno H: "Bounding Option Price by Semi-Definite Programming"CRAFT Working Paper, 00-10, Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, October, 2000. (to appear in Management science).
Gotoh J. 和 Konno H:“Bounding Option Price by Semi-Definite Planning”CRAFT 工作论文,00-10,东京工业大学高级金融技术研究中心,2000 年 10 月。(出现在《管理科学》杂志上)。
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Ishijima H. and Shirakawa H.: "The Optimal Log-Utility Asset Management under Incomplete Information"Asia-Pacific Financial Markets. 6. 183-194 (1999)
Ishijima H.和Shirakawa H.:“不完全信息下的最优对数效用资产管理”亚太金融市场。
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共 40 条
Geometry of Ricci-flat manifolds and moment maps
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批准号:19540067
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项目类别:Grant-in-Aid for Scientific Research (C)
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资助金额:$2.83万
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财政年份:2007
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负责人:KONNO Hiroshi
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依托单位:
Research on Integrated Financial Risk Management Technologies : Integration of Market Risk and Credit Risk
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批准号:18310109
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$7.64万
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财政年份:2006
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负责人:KONNO Hiroshi
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依托单位:
Ricci-flat manifolds and the global structure of their moduli spaces
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批准号:15540062
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项目类别:Grant-in-Aid for Scientific Research (C)
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资助金额:$2.3万
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财政年份:2003
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负责人:KONNO Hiroshi
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依托单位:
Internationally diversified Investment using Mean-Absolute Deviation Model : Theory and Empirical Study
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批准号:15310122
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$7.49万
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财政年份:2003
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负责人:KONNO Hiroshi
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依托单位:
Portfolio Models for the Next Generation Fund Management
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批准号:12480105
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$9.02万
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财政年份:2000
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负责人:KONNO Hiroshi
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依托单位:
Global Optimization Models on Industrial Systems and Efficient Approaches for Solving them
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批准号:10450041
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$4.29万
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财政年份:1998
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负责人:KONNO Hiroshi
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依托单位:
Some Issues by Algae on Water Supply in Tropical Country
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批准号:09041130
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项目类别:Grant-in-Aid for international Scientific Research
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资助金额:$0.9万
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财政年份:1997
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负责人:KONNO Hiroshi
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依托单位:
Algorithmic Studies on Portfolio Optimization and Asset Pricing and Transaction Cost
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批准号:09558046
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$4.8万
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财政年份:1997
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负责人:KONNO Hiroshi
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依托单位:
Geometry of moduli spaces and non-abelian localization formal
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批准号:09640124
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项目类别:Grant-in-Aid for Scientific Research (C)
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资助金额:$1.86万
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财政年份:1997
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负责人:KONNO Hiroshi
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依托单位:
Financial Engineering Research or Asset Management and Pricing
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批准号:08305002
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项目类别:Grant-in-Aid for Scientific Research (A)
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资助金额:$5.63万
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财政年份:1996
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负责人:KONNO Hiroshi
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依托单位:
Global Optimization in Social System Engineering
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批准号:08458094
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项目类别:Grant-in-Aid for Scientific Research (B)
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资助金额:$3.33万
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财政年份:1996
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负责人:KONNO Hiroshi
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依托单位:
Separation of Algae on Water Purification
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批准号:07650643
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项目类别:Grant-in-Aid for Scientific Research (C)
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资助金额:$1.34万
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财政年份:1995
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负责人:KONNO Hiroshi
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依托单位:
Development of Physics and the Policy in the 1930's Germany.
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批准号:07680081
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项目类别:Grant-in-Aid for Scientific Research (C)
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资助金额:$0.77万
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财政年份:1995
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负责人:KONNO Hiroshi
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依托单位:
Research on Global Optimization Problems in Engineering Systems
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批准号:06452141
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项目类别:Grant-in-Aid for General Scientific Research (B)
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资助金额:$4.61万
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财政年份:1994
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负责人:KONNO Hiroshi
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依托单位:
A Comparative Study on History of Quantum Theory and Solid State Physics in the period of 1920's to 1930's.
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批准号:05680059
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项目类别:Grant-in-Aid for General Scientific Research (C)
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资助金额:$0.64万
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财政年份:1993
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负责人:KONNO Hiroshi
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依托单位:
Global Minimization of Nonconvex Functions and Its Applications to Social Systems
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批准号:03832018
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项目类别:Grant-in-Aid for General Scientific Research (C)
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资助金额:$1.22万
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财政年份:1991
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负责人:KONNO Hiroshi
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依托单位:
Mathematical Programming Algorithms and Their Applications to Engineerring Problems
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批准号:63490010
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项目类别:Grant-in-Aid for General Scientific Research (B)
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资助金额:$5.5万
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财政年份:1988
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负责人:KONNO Hiroshi
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依托单位:
海外基金