Research on financial risk management methods based on new risk measures and their applications

基于新风险度量的金融风险管理方法研究及其应用

• 批准号: 23510181
• 负责人: XU Chunhui
• 金额: $ 2.75万
• 依托单位: Chiba Institute of Technology
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2013
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23510181/
• 关键词: 最適資産運用; 金融リスク; VaR; PVaR; 仕組債; 金融投資リスク; 期間リスク; ポートフォリオ最適化; リスク測定指標; 国際情報交換; VaRの最小化; 国際情報交流

We got the following results in this research project (1)We proposed effective solution methods for solving portfolio optimization models with risk measured by VaR. Especially, we showed that VaR minimization model can be solved by solving a series of linear programming models, and proposed an algorithm for solving the model. (2)We formulated the design problem of structured products with market risk measured by VaR, and proposed methods for solving these models.(3)For measuring financial risk during a period of future time, we proposed and formulated the notion of Period Value at Risk(PVaR). To create a financial investment theory based on PVaR, we started to explore methods for computing PVaR and for solving portfolio optimization models with PVaR included.

本研究取得了以下成果：（1）提出了基于VaR风险度量的投资组合优化模型的有效求解方法。特别地，我们证明了VaR最小化模型可以通过求解一系列线性规划模型来求解，并给出了求解该模型的算法。(2)We阐述了市场风险由VaR度量的结构化产品的设计问题，并给出了模型的求解方法。（3）为了度量未来一段时间内的金融风险，我们提出并建立了期间风险价值（Period Value at Risk，PVaR）的概念。为了建立基于PVaR的金融投资理论，我们开始探索计算PVaR和求解包含PVaR的投资组合优化模型的方法。

项目成果

Measuring Financial Market Risk in a Time Span by Simulation

通过模拟衡量一段时间内的金融市场风险

• 发表时间: 2012
• 作者: C. Xu;Y. Huo;A. Inoue
• 通讯作者: A. Inoue

金融投資意思決定モデルの再考

重新思考金融投资决策模式

• 发表时间: 2013
• 作者: J.Kiniwa;K.Kikuta and T.Hamada;徐 春暉
• 通讯作者: 徐 春暉

A Survey of Methods for Solving VaR-based Portfolio Selection Models

基于 VaR 的投资组合选择模型求解方法综述

• 发表时间: 2011
• 作者: Y. Huo;C. Xu;A. Inoue
• 通讯作者: A. Inoue

An Optimization Method for Determining LIBOR-linked Notes Based on the Issuer's Interest

基于发行人兴趣确定 LIBOR 挂钩票据的优化方法

• 发表时间: 2011
• 期刊: ICIC Express Letters
• 作者: W. Zhao;C. Xu
• 通讯作者: C. Xu

Design of Life Insurance Participating Policies with Variable Guarantees and Annual Premium

可变保证和年保费的人寿保险分红保单的设计

• 发表时间: 2011
• 期刊: International Journal of Innovative Computing, Information and Control
• 作者: P. R. C. Aguilar;C. Xu
• 通讯作者: C. Xu