不確定環境におけるファジィVaR基準に基づく収益・リスク評価モデルの構築

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In the second year of JSPS program, we continue to work in the related fields according to the research plan made when apply the JSPS scholarship. During this period, we mainly focused on the developments of several risk measurements, the constructions of complicated mathematical models and the applications of our approaches in unit commitment and portfolio selection problems. The main objects of the research have been achieved, and we have published the research results in both SCI journals and international conferences.Our results in the past year can be summarized as follows :1. Research on unit commitment problem : First, we improve the single-node model proposed in our previous study to a multi-node system to ferret more realistic decisions. The mathematical model is improved to handle the transmission interconnection constraints which are necessary in a multi-node unit commitment, and we unify the multi-objective problem as one function to obtain a unique solution of the problem. … More Moreover, the solution algorithm is modified accordingly to solve the complicated optimization problem. Second, recently we just finished a new study which constructs a unit commitment-based bilevel electricity trading model. This model handles the optimizations of both the generation company and the market operator simultaneously. We have submitted this result to IEEE Trans. On Power Systems.2. Research on portfolio selection problem : Collaborate with other PhD. students in our lab, we also have some interesting results in this filed. We build two novel portfolio selection models in fuzzy environment : the first study uses technical analysis-based fuzzy birandom variables to help the managers in both security future returns forecasting and decision-making, while the second one addresses the investors' exit strategy in portfolio selection problem. Both of the studies are novel to portfolio selection problem and show effectiveness when comparing with existing literatures.Our research on multi-node unit commitment problem also won the "Excellence paper award" in the Tenth International Symposium on Management Engineering. Less