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Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application

基于新方法的动态投资组合选择问题的理论研究及其应用

基本信息

批准号：
17300087
负责人：
MIURA Ryozo
金额：
$ 3.14万
依托单位：
Hitotsubashi University, Graduate School of International Corporate Strategy
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2005
资助国家：
日本
起止时间：
2005 至 2006
项目状态：
已结题

项目摘要

Miura Ryozo: He has been working on Theoretical and empirical study on portfolios which utilize rank information. He is still on the stage of empirical study on size effect stochastic process of stocks, which is most essential in order to study the nature of the rank portfolio. Along with this study, he took a different look at the rank of stock prices which is not the rank of a stock among many stocks, but the rank of the price of a stock at a prefixed time among the prices of the same stock during a prefixed time interval. He has studied and derived a probability distribution of this rank of a price of a stock. Then he utilized this result for pricing of a new exotic option, named Stochastic Corridor Option, which he created during this research project.Nobuhiro Nakamura: We study several issues involving optimal risk transfer associated with a new security innovation from its issuer to investors based upon a stochastic differential utility (SDU). Using the stochastic maximum principle we have shown that the optimal risk transfer, consumptions, investment policies of both agents are characterized by a forward-backward stochastic differential equation system. Furthermore we have explored the SDU-based maximization problems with an uncertain time horizon, event risk and model risk.Izumi Nagayama: She has tested numerically for the effectiveness of model-risk-hedging based on the Black-Scholes model. She found out that the well-known vega-hedging does not always work well and she also examined the reason. She is trying to find the new way of hedging the model risk.Shoji Kamimura: Recently, Fujita and Miura(2006) have provided mathematical closed forms for the probability distribution of the rank. However, these closed forms are so complicated that we can not see or imagine the figure shape of the probability distribution. Then we have shown some numerical results to see the figures and properties of these family of distributions of the rank statistics.

Miura Ryozo：他一直致力于利用排名信息的投资组合的理论和实证研究。他还停留在对股票规模效应随机过程的实证研究阶段，这是研究排名组合本质的关键。在这项研究中，他对股票价格的排名进行了不同的研究，这不是股票在许多股票中的排名，而是在预定时间内同一只股票的价格在预定时间间隔内的排名。他研究并推导出了股票价格的这个等级的概率分布。然后，他利用这一结果为一种新的奇异期权定价，他在这个研究项目中创建了随机走廊期权。Nobuhiro Nakamura：我们基于随机微分效用（SDU）研究了与发行人到投资者的新证券创新相关的最佳风险转移的几个问题。利用随机极大值原理，证明了两个主体的最优风险转移、最优消费、最优投资策略都是一个正-倒向随机微分方程系统。此外，我们还探讨了具有不确定时间范围、事件风险和模型风险的基于sdu的最大化问题。Izumi Nagayama：她基于Black-Scholes模型对模型风险对冲的有效性进行了数值测试。她发现众所周知的素食对冲并不总是很有效，她也研究了原因。她正试图找到对冲模型风险的新方法。最近，Fujita和Miura（2006）提供了秩的概率分布的数学封闭形式。然而，这些封闭的形式是如此复杂，以至于我们无法看到或想象概率分布的图形形状。然后，我们给出了一些数值结果，以了解秩统计量的这些分布族的图形和性质。

项目成果

期刊论文数量（0）

专著数量（0）

科研奖励数量（0）

会议论文数量（0）

专利数量（0）

Stochastic Calculus for Finance I The Binomial Asset Pricing Model

金融随机微积分 I 二项式资产定价模型

DOI：
发表时间：
2006
期刊：
Springer-Verlag 31
影响因子：
0
作者：
Steven E.Shreve(Author);Izumi Nagayama (First Translator)
通讯作者：
Izumi Nagayama (First Translator)

Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon

基于随机微分效用的不确定时间范围的最优消费和投资策略

DOI：
发表时间：
2006
期刊：
Proceedings of the 14th Nippon Finance Association Meeting
影响因子：
0
作者：
Takahiko Fujita;Ryozo Miura;Nobuhiro Nakamura
通讯作者：
Nobuhiro Nakamura

Robust Utility Maximization in Jump-Diffusion Factor Models.

跳跃扩散因子模型中的鲁棒效用最大化。

DOI：
发表时间：
2006
期刊：
Proceedings of the 25-th JAFEE meeting
影响因子：
0
作者：
Takahiko Fujita;Ryozo Miura;Ryozo Miura.;Nobuhiro Nakamura.
通讯作者：
Nobuhiro Nakamura.

Rank Process, Stochastic Corridor and Application to Finance.

排名过程、随机走廊及其在金融中的应用。

DOI：
发表时间：
2007
期刊：
「Advances in Statistical Modeling and Inference.」 Edited by Vijay Nair. World Scientific.2007 論文集
影响因子：
0
作者：
Donald Van Deventar;Kenji Imai( Authors);Ryozo Miura(First Translator);三浦良造
通讯作者：
三浦良造

The distribution of continuous time rank processes.

连续时间排序过程的分布。