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KAKEN_15H02973seika.pdf
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:486.3 KB
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:May 17, 2022 |
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Total downloads since May 17, 2022 : 459
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| Title |
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シミュレーション技術を利用した定量リスク管理法の提言
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シミュレーション ギジュツ オ リヨウシタ テイリョウ リスク カンリホウ ノ テイゲン
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Shimyurēshon gijutsu o riyōshita teiryō risuku kanrihō no teigen
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A simulation-based approach for the quantitative risk management
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今井, 潤一
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イマイ, ジュンイチ
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Imai, Jun'ichi
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慶應義塾大学・理工学部 (矢上) ・教授
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Research team head
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科研費研究者番号 : 10293078
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2021
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科学研究費補助金研究成果報告書
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2020
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本研究では，解析的な分析が不可能な様々な不確実性が存在する金融問題，経営の意思決定の問題に対して，実務的に意味のある定量的な分析を可能とする数値計算手法のアプローチとして，ADPRL(Approximate Dynamic Programming & Reinforcement Learning)を提案した．研究ではその構成要素であるモデル開発，シュミレーション技法，最適化アルゴリズムそれぞれに関しての研究を行い統合フレームワークを構築した．
次に，実際の経営者がリスクとリターンの両方を分析し，最適な意思決定を行うために，高次元，曖昧性，モデルの不確実性の下で様々なアプリケーションを分析した．
We proposed ADPRL (Approximate Dynamic Programming & Reinforcement Learning) as a distinct approach to numerical computation that enables quantitative analysis that is practically useful for financial problems and management decision-making problems where various uncertainties exist that cannot be analyzed analytically.
We thoroughly studied three factors: modeling, simulation, and numerical optimization, and have constructed an integrated framework.
Next, based on ADPRL, we analyzed various applications under high -dimensionality, ambiguity and/or model uncertainty for actual management to analyze both risk and returns and to make the optimal decisions.
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研究種目 : 基盤研究 (B) (一般)
研究期間 : 2015～2019
課題番号 : 15H02973
研究分野 : 金融工学
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