経済統計ワークショップ/CFEEセミナー

日時	2025年11月7日(金) 17:10-18:40
場所	西キャンパス本館34番教室
講演者1:	斎藤大河（一橋大学・経済）演題:"Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market" 概要:This paper considers a multi-agent optimal investment problem with conservative, aggressive, or neutral sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative, aggressive, or neutral sentiments of the agents by a sup-inf/inf-sup, sup-sup, or sup problem where we take infimum or supremum on a choice of a probability measure depending on the view types and supremum on trading strategies. Moreover, we show a square-root case where a group of agents has either conservative, aggressive, or neutral sentiments on the fundamental risks and a general case where the Sharpe ratio process of the risky asset and the optimal trading strategies in equilibrium are explicitly solved by a BSDE approach. Finally, we present numerical examples of the trading strategies and the expected return process in equilibrium under heterogeneous sentiments, which explain how the conservative,aggressive, or neutral sentiments affect the Sharpe ratio process of the risky asset and the trading strategies of the agents in equilibrium.
講演者2:	山田俊皓（一橋大学・経済）演題:"Rough path-based scheme for weak and strong approximations of stochastic differential equations: Application to high-dimensional finance models with deep learning methods" 概要:In the talk, we introduce new weak and strong approximations of stochastic differential equations based on rough path schemes and explain how combining these methods with deep learning techniques enables the analysis of various high-dimensional finance models. This talk is based on a joint work with Riu Naito.
言語	日本語
幹事	本田敏雄 [経済学研究科]（t.honda[at]r.hit-u.ac.jp）