| TSUJIMURA Motoo |  |
| Faculty of Commerce Department of Commerce | |
| Professor |
Last Updated :2025/05/22
Researcher Profile and Settings
researchmap
Research Interests
Research Areas
- Humanities & social sciences / Money and finance / Finance
- Social infrastructure (civil Engineering, architecture, disaster prevention) / Safety engineering
- Social infrastructure (civil Engineering, architecture, disaster prevention) / Social systems engineering
Education
Degree
Association Memberships
- Japan Association of Real Options and Strategy
- Nippon Finance Association
- The Operations Research Society of Japan
- International Association for Energy Economics
- Institute for Operations Research and the Management Sciences
Published Papers
- 連続行為空間上の進化ゲームならびに関連した平均場ゲーム
吉岡秀和; 辻村元男
数理解析研究所講究録, 2300 74 - 84, Jan. 2025, Research institution - Valuation of a wind power generation capacity considering Long-Term Decarbonization Power Auction
Motoh Tsujimura; Hidekazu Yoshioka
RIMS Kôkyûroku, 2300 115 - 121, Jan. 2025, Research institution - Environmental management and restoration under unified risk and uncertainty using robustified dynamic Orlicz risk
Hidekazu Yoshioka; Motoh Tsujimura; Futoshi Aranishi; Tomomi Tanaka
Communications in Nonlinear Science and Numerical Simulation, 140(2) 108398 , Jan. 2025, Scientific journal - A Real Options Model of Debt Ratio in Leveraged Buyouts
Makoto Goto; Ryuta Takashima; Motoh Tsujimura
International Journal of Real Options and Strategy, 11 1 - 12, Dec. 2024, Scientific journal - The Robust Orlicz Risk with an Application to the Green Photovoltaic Power Generation
Hidekazu Yoshioka; Motoh Tsujimura
Asian Journal of Control, Dec. 2024, Scientific journal - Numerical analysis of an extended mean field game for harvesting common fishery resource
Hidekazu Yoshioka; Motoh Tsujimura; Yumi Yoshioka
Computers and Mathematics with Applications, 165 88 - 105, Jul. 2024, Scientific journal - Generalized pair-wise logit dynamic and its connection to a mean field game: theoretical and computational investigations focusing on resource management
Hidekazu Yoshioka; Motoh Tsujimura
Dynamic Games and Applications, Jun. 2024, Scientific journal - Valuation of Capacity Investment with Price regulation under Output Price Risk
Motoh Tsujimura; Hidekazu Yoshioka; Ryuta Takashima; Makoto Goto
RIMS Kôkyûroku, 2272 114 - 121, Dec. 2023, Research institution - Distributionally-Robust Optimization for Sustainable Exploitation of the Infinite-Dimensional Superposition of Affine Processes with an Application to Fish Migration
Hidekazu Yoshioka; Motoh Tsujimura; Yumi Yoshioka
In: Mikyška, J. et al. (Eds) Computational Science – ICCS 2023. ICCS 2023, LNCS 14077 569 - 582, Jun. 2023, In book - Time-average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
Hidekazu Yoshioka; Motoh Tsujimura; Kunihiko Hamagami; Haruka Tomobe
Mathematical Methods in the Applied Sciences, Wiley, 46(9) 9847 - 11297, Jun. 2023, Scientific journal - Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
Hidekazu Yoshioka; Motoh Tsujimura; Haruka Tomobe
Journal of Computational and Applied Mathematics, Elsevier BV, 424 114974 - 114974, May 2023, Scientific journal - A robust consumption model when the intensity of technological progress is ambiguous
Motoh Tsujimura; Hidekazu Yoshioka
Mathematics and Financial Economics, 17(1) 23 - 47, Mar. 2023 - Assessing the value of investment in thermal generation capacity under price ambiguity in electricity and capacity markets
Motoh Tsujimura
The Social Sciences, 52(4) 299 - 313, Feb. 2023, Scientific journal - Assessing the value of a thermal power plant considering power market and capacity mechanism
Motoh Tsujimura; Hidekazu Yoshioka; Ryuta Takashima; Makoto Goto
RIMS Kôkyûroku, 2237 104 - 115, Jan. 2023, Research institution - Non-standard jump processes arising in environmental project planning
Hidekazu Yoshioka; Motoh Tsujimura
RIMS Kôkyûroku, 2237 5 - 10, Jan. 2023, Research institution - Assessing Capital Investment Strategy with Convex Adjustment Cost under Ambiguity
Junichi Imai; Motoh Tsujimura
International Journal of Real Options and Strategy, 9 11 - 39, Dec. 2022, Scientific journal - Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
Hidekazu Yoshioka; Motoh Tsujimura; Tomohiro Tanaka; Yumi Yoshioka; Ayumi Hashiguchi
Computers and Mathematics with Applications, Elsevier BV, 126 115 - 148, Nov. 2022, Scientific journal - Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics
Hidekazu Yoshioka; Motoh Tsujimura
Optimization, TAYLOR & FRANCIS LTD, 71(11) 3383 - 3417, Nov. 2022, Scientific journal - A review of stochastic controls solving economic agent problems under uncertainty
Motoh Tsujimura
Doshisha Syogaku, 74(2) 189 - 217, Sep. 2022 - Analytical and numerical solutions to ergodic control problems arising in environmental management
Hidekazu Yoshioka; Motoh Tsujimura; Yuta Yaegashi
Mathematical Methods in the Applied Sciences, WILEY, 45(13) 8329 - 8352, Sep. 2022, Scientific journal - Derivation and Computation of Integro-Riccati Equation for Ergodic Control of Infinite-Dimensional SDE
Hidekazu Yoshioka; Motoh Tsujimura
Computational Science – ICCS 2022, Springer International Publishing, 577 - 588, Jun. 2022, In book - Hamilton–Jacobi–Bellman–Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
Hidekazu Yoshioka; Motoh Tsujimura
Computers and Mathematics with Applications, 112 23 - 54, Mar. 2022, Scientific journal - Changes in Capital stock with two types of costs under stochastic output demand and capital price
Motoh Tsujimura
RIMS Kôkyûroku, 2207 71 - 76, Dec. 2021 - Erlangization and ambiguity in environmental policy making
Hidekazu Yoshioka; Motoh Tsujimura
RIMS Kôkyûroku, 2207 57 - 61, Dec. 2021 - Impulsive fishery resource transporting strategies based on an open-ended stochastic growth model having a latent variable
Hidekazu Yoshioka; Tomomi Tanaka; Futoshi Aranishi; Motoh Tsujimura; Yumi Yoshiok
Mathematical Methods in the Applied Sciences, WILEY, Nov. 2021, Scientific journal - Examination of Exfoliation Dynamics of Algae with sediment transport
Kunihiko Hamagami; Hidekazu Yoshioka; Shungo Ito; Miki Tsuchiya; Motoh Tsujimura; Yumi Yoshioka; Yuta Yaegashi
Water Science, 65(3) 157 - 167, Aug. 2021 - HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation Computers and Mathematics with Applications
Hidekazu Yoshioka; Motoh Tsujimura; Kunihiko Hamagami; Yuta Yaegashi; Yumi Yoshioka
Computers and Mathematics with Applications, 96 131 - 154, Aug. 2021, Scientific journal - Capital expansion and reduction with fixed and proportional costs under demand ambiguity
Motoh Tsujimura
Doshisha Syogaku, 72(6) 209 - 227, Mar. 2021 - Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
Hidekazu Yoshioka; Yuta Yaegashi; Motoh Tsujimura; Yumi Yoshioka
Applied Stochastic Models in Business and Industry, WILEY, 37(1) 113-138 - 138, Jan. 2021, Scientific journal - Partially reversible capital investment with both fixed and proportional costs under demand risk
Motoh Tsujimura
RIMS Kôkyûroku, 2173 108 - 124, Dec. 2020, Research institution - A hybrid stochastic river environmental restoration modeling with discrete and costly observations
Hidekazu Yoshioka; Motoh Tsujimura; Kunihiko Hamagami; Yumi Yoshioka
Optimal Control Applications and Method, WILEY, 41(6) 1964 - 1994, Nov. 2020, Scientific journal - Finite volume computation for the non-stationary probability density function of an impulsively controlled 1-D diffusion process
Yuta Yaegashi; Hidekazu Yoshioka; Motoh Tsujimura; Masayuki Fujihara
Journal of Advanced Simulation in Science and Engineering, Japan Society for Simulation Technology, 7(2) 262 - 278, Aug. 2020, Scientific journal - Pollution reduction policies and their associated costs under uncertainty
Motoh Tsujimura
The Social Sciences, 50(2) 83 - 104, Aug. 2020 - A Simple Stochastic Process Model for River Environmental Assessment Under Uncertainty
Hidekazu Yoshioka; Motoh Tsujimura; Kunihiko Hamagami; Yumi Yoshioka
In: Krzhizhanovskaya V. et al. (eds) Computational Science – ICCS 2020. ICCS 2020. Lecture Notes in Computer Science, 12143 494 - 507, Jun. 2020, International conference proceedings - Applications of optimal control theory in river and natural resources management
Hidekazu Yoshioka; Motoh Tsujimura
In Hidekazu Yoshioka ed, Ayu and River Environment in Hii River, Japan -Research results from 2015 to 2020, 63 - 76, May 2020 - Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
Hidekazu Yoshioka; Motoh Tsujimura
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ELSEVIER, 366, Mar. 2020, Scientific journal - Stochastic control of single-species population dynamics model subject to jump ambiguity
Hidekazu Yoshioka; Motoh Tsujimura
Journal of Biological Dynamics, TAYLOR & FRANCIS LTD, 14(1) 696 - 729, 2020, Scientific journal - Mathematical Modeling for Decision-Making of Observation Timing and Workload for Cost-Effective River Environmental Management
Hidekazu Yoshioka; Motoh Tsujimura; Yuta Yaegashi; Masayuki Fujihara
Journal of Real Options and Strategy, The Japan Association of Real Options and Strategy, 11(0) 25 - 37, Dec. 2019, Scientific journal - Capital investment under output demand and investment cost ambiguity
Motoh Tsujimura
RIMS Kôkyûroku, 2111 125 - 136, Apr. 2019 - Partially Reversible Capital Investment under Demand Ambiguity
Motoh Tsujimura
RIMS Kôkyûroku, 2106 33 - 47, Apr. 2019 - Non-Local Fokker-Planck Equation of Imperfect Impulsive Interventions and its Effectively Super-Convergent Numerical Discretization
Hidekazu Yoshioka; Yuta Yaegashi; Motoh Tsujimura; Masayuki Fujihara
Communications in Computer and Information Science, Springer Singapore, 1094 79 - 91, 2019, In book - An Abatement Investment Strategy with Stochastic Abatement Technology
Motoh Tsujimura
RIMS Kôkyûroku, 京都大学数理解析研究所, 2029(2029) 1 - 5, 2017 - Impact of Ambiguity on Project Investment Timing: An Introduction
Motoh Tsujimura
Communications of the Japan Association of Real Options and Strategy, 9(1) 51 - 61, 2017 - Pollution Thresholds under Uncertainty in Asymmetric Duopoly
Makoto Goto; Ryuta Takashima; Motoh Tsujimura
RIMS Kôkyûroku, 京都大学数理解析研究所, 1983 27 - 40, 2016 - Assessing Capital Investment Strategy with Quadratic Adjustment Cost under Ambiguity
Motoh Tsujimura
RIMS Kokyuroku, Kyoto University, 1983 1 - 7, 2016 - Pollutant Abatement Investment under Ambiguity in a Two-Period Model,
Motoh Tsujimura
International Journal of Real Options and Strategy,, 3, 13-26, , 2015 - A Two-Period Model of Capital Investment under Ambiguity
Motoh Tsujimura
RIMS Kôkyûroku, Kyoto University, 1886 16 - 22, 2014 - Sequential Investment in Pollution Control Equipment under Uncertainty
Motoh Tsujimura
Doshisha Syogaku, Doshisha University, 66(1) 267 - 279, 2014 - Assessing Alternative R&D Investment Projects under Uncertainty,
Motoh Tsujimura
International Journal of Real Options and Strategy,, The Japan Association of Real Options and Strategy, 1, 1-16, - 16, 2013 - Valuation of a Reversible Capital Investment Project under Uncertainty
Motoh Tsujimura
Journal of the Society of Instrument and Control Engineers, 50(11) 987 - 992, 2011 - Irreversible investment, operating flexibility, and time lag
Ryuta Takashima; Makoto Goto; Motoh Tsujimura
Asia-Pacific Journal of Operational Research, WORLD SCIENTIFIC PUBL CO PTE LTD, 27(2) 271 - 286, Apr. 2010, Scientific journal - Choice of Alternative Environmental Policies with Quadratic Costs
Makoto Goto; Ryuta Takashima; Motoh Tsujimura
RIMS Kokyuroku, Kyoto University, 1675 248 - 260, 2010 - Real Options in a Duopoly Setting: Investment on the Project with Operational Options and Fixed Costs,
M. Goto; R. Takashima; M. Tsujimura
Journal of Applied Operational Research,, 2,(1,) 22-32, , 2010 - The value of a merger and its optimal timing
Masaya Okawa; Motoh Tsujimura
Applied Financial Economics, 19(18) 1477 - 1485, Sep. 2009, Scientific journal - Induced effects and technological innovation with strategic environmental policy
Atsuyuki Ohyama; Motoh Tsujimura
European Journal of Operational Research, ELSEVIER SCIENCE BV, 190(3) 834 - 854, Nov. 2008, Scientific journal - Choice of Three Environmental Policies under Uncertainty
Makoto Goto; Ryuta Takashima; Motoh Tsujimura
RIMS Kôkyûroku, 京都大学, 1580 174 - 184, 2008 - Three Phased Switching of Operations under Uncertainty
Ryuta Takashima; Makoto Goto; Motoh Tsujimura
RIMS Kokyuroku,, Kyoto University, 1580 185 - 194, 2008 - The Effect of Strategies on Mergers and Acquisitions
Makoto Goto; Masaya Okawa; Ryuta Takashima; Motoh Tsuijmura
RIMS Kôkyûroku, Kyoto University, 1580 195 - 205, 2008 - 2次形式の調整費用を考慮した代替的な環境政策について,
M. Goto; R. Takashima; M. Tsujimura
『オペレーションズ・リサーチ』,, 公益社団法人日本オペレーションズ・リサーチ学会, 53(4) 235 - 239, 2008 - Capacity investment with adjustment costs under uncertainty
Motoh Tsujimura
Communications of the Operations Research Society of Japan, 53(11) 603 - 607, 2008 - 不確実性下における代替的な環境政策の選択,
後藤允; 高嶋隆太; 辻村元男
『ジャフィージャーナル』,, 24-51, , 2008 - Stock repurchase policy with transaction costs under jump risks
Hiromichi Goko; Masamitsu Ohnishi; Motoh Tsujimura
in T. Dohi, S. Osaki and K. Sawaki (eds), Recent Advancement of Stochastic Operations Research, WORLD SCIENTIFIC PUBL CO PTE LTD, 161 - 174, 2007 - Political measures for strategic environmental policy with external effects
Atsuyuki Ohyama; Motoh Tsujimura
Environmental and Resource Economics, SPRINGER, 35(2) 109 - 135, Oct. 2006, Scientific journal - Corporate Strategy and Management under Risk: A Stochastic Control Approach
Motoh Tsujimura
in H. Takamori and M. Ide (ed), Financial Technology, Agency, and Management, Toyokeizai, Tokyo,, 275 - 293, 2006 - An impulse control of a geometric Brownian motion with quadratic costs
Masamitsu Ohnishi; Motoh Tsujimura
European Journal of Operational Research, ELSEVIER SCIENCE BV, 168(2) 311 - 321, Jan. 2006, Scientific journal - Optimal natural resources management under uncertainty with catastrophic risk
Motoh Tsujimura
Energy Economics, ELSEVIER SCIENCE BV, 26(3) 487 - 499, May 2004, Scientific journal - An Empirical Study on Mergers in Japanese Companies by Real Options Approach
Masaya Okawa; Motoh Tsujimura
Osaka Economic Papers, 大阪大学大学院経済学研究科資料室, 54(3) 502 - 516, 2004 - Creation of the Tourist Resources Conducive to the Local Society -Financial Approach to the Buried Cultural Property-
S. Ishikawa; H. Akakabe; M. Tsujimura
Journal of Tourism Research, (45) 21 - 30, 2004 - Review of Option Value in Finance and Environmental Economics
Motoh Tsujimura
Osaka Economic Papers, 大阪大学大学院経済学研究科, 52(4) 1 - 39, 2003 - Impulse Control and Its Applications to Mathematical Finance
Motoh Tsujimura
Osaka economic papers, 大阪大学経済学会, 53(3) 199 - 220, 2003 - Optimal Dividend Policy by an Impulse Control Approach
Masamitsu Ohnishi; Motoh Tsujimura
RIMS Kôkyûroku, Kyoto University, 1252 139 - 146, 2002 - Optimal Impulse Control under a Geometric Brownian Motion
Masamitsu Ohnishi; Motoh Tsujimura
RIMS Kôkyûroku, 京都大学, 1194 225 - 232, 2001 - Optimal Implementation of Environmental Improvement Policy with Implementation Costs,
Motoh Tsujimura
Scientiae Mathematicae Japonicae Online,, 4 613 - 628, 2001 - Price Analysis of Tradable Emission Permits of CO2 by a Real Option Model
Tsujimura Motoh
Osaka Daigaku keizaigaku = The Economic review of Osaka University, Osaka University, 50,(1) 50-65, - 65, 2000
MISC
- Numerical Computation of The Value of Information for Optimal Monitoring Problems under Incomplete Information
吉岡 秀和; 辻村 元男; 八重樫 優太; 吉岡 有美
計算工学講演会論文集 Proceedings of the Conference on Computational Engineering and Science, 日本計算工学会, 25 6p , Jun. 2020 - Growth of the fish Plecoglossus altivelis altivelis
Hidekazu Yoshioka; Yumi Yoshioka; Yuta Yaegashi; Motoh Tsujimura
In Hidekazu Yoshioka ed, Ayu and River Environment in Hii River, Japan -Research results from 2015 to 2020, 13 - 26, May 2020 - 斐伊川のアユ成長や水温の解析
吉岡秀和; 辻村元男; 八重樫優太; 吉岡有美
瀬音, 12 6 - 7, Jun. 2019, Others - Application of an Adaptive Viscosity Scheme to Discretization of the Optimality Equation for a Discrete Costly Observation Problem
Yoshioka Hidekazu; Tsujimura Motoh; Yaegashi Yuta; Tanaka Tomomi; Yoshioka Yumi; Fujihara Masayuki
計算工学講演会論文集 Proceedings of the Conference on Computational Engineering and Science, 日本計算工学会, 24 6p , May 2019
Books etc
Research Projects
- Development Real Options Valuation Models for Pollutant Reduction Investment under Ambiguity and Their Applications
辻村 元男
2021年度の主な研究成果として，辻村(2021)と吉岡・辻村(2021)について述べる。 まず，辻村(2021)は，企業はアウトプットの需要と資本価格に対する不確実性に直面しており，その下で需要に応じて資本ストックの規模を変更する問題を考察した。企業の資本投資の分析では，多くの場合，資本への投資費用は全額埋没費用である場合について考察している。これに対して，本研究は，資本を他の企業あるいは中古市場に売却ができる場合について考察した。すなわち，資本投資は完全に不可逆ではなく部分的に不可逆である場合を考察した。資本ストックの規模を変更する際には，資本の購入額あるいは売却額に加えて，資本の変更水準とは独立な費用を考慮した。投資規模とは独立した費用の定式化については，Abel and Eberly (1998)を参考とした。こうした事業環境下で，企業がいつ・どれだけ資本ストックの規模を変更すれば良いかについて考察した。 企業の問題は，確率インパルス制御問題として定式化され，準変分不等式を用いて問題を解くことができる。本研究では，準変分不等式を示し，最適な投資規模変更政策を特徴付ける6つの閾値を用いて，資本規模を拡張する領域，資本規模を縮小する領域，資本規模を変更しない領域を定めた。ただし，6つの閾値については数値計算によって求める必要があり，これについては残された課題である。 次に，吉岡と辻村は，環境管理の最適化に関わる諸問題に対して，離散的な観測と制御に着目して，アーラン化に基づく環境管理の理論構築を行った（未公刊）。アーラン化（Erlangization）とは，待ち時間の確率分布がアーラン分布に従う場合の数理モデリング手法を指す。吉岡・辻村(2021)は，アーラン化のアイデアを簡潔に説明した。, Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research, 2021/04 -2025/03, Principal investigator, Grant-in-Aid for Scientific Research (C), Doshisha University - Development of a Business Valuation Model Using a Real Options Approach under Ambiguity
Doshisha University, Urgent Research Related to COVID-19 (All Doshisha Research Model), 2020/07 -2021/03, Principal investigator - Developing Evaluation Models of Environmental Policies under Ambiguity by using Real Options Approach and Their Applications
Motoh Tsujimura
This study investigates resource and environmental policies by using real options approaches. Especially this study focuses on the following : 1) the impact of pollutant stock on pollutant reduction policy, 2) R & D investment project, 3) sequential pollutant reduction policies. These analyses reveal how the uncertainty, the cost of policy, technological progress impact on implementing policies., Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research, 2018/04 -2021/03, Principal investigator, Competitive research funding, Grant-in-Aid for Scientific Research (C) - 証券市場における注文形式と価格発見・流動性指標に関する研究
Toshihiko Marumo
Japan Securities Scholarship Foundation, Research Grant Program 2019, 2019/09 -2020/09, Competitive research funding - Development of Evaluating Models for Environmental Policies by using Real Options Approach under Ambiguity and Their Applications
Motoh Tsujimura
科学研究費助成事業 基盤研究(C), 2015/04 -2018/03, Principal investigator, Competitive research funding - Development of Evaluating Models of Pollutant Reduction Investment Projects by using Real Options Approach and Their Applications
Motoh Tsujimura
科学研究費助成事業 基盤研究(C), 2012/04 -2015/03, Principal investigator, Competitive research funding - Exploring Decision Support Models in OR-oriented Finance
Toshikazu Kimura
The basic concept of this research is called “OR-oriented finance,” which reconstructs financial modeling from the view point of decision making in Operations Research. Under this concept, we have developed various mathematical models on (1) valuing options; (2) valuing structured bonds; (3) pure mathematical finance; (4) valuation in corporate finance; and (5) real options., Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research, 2008/04 -2013/03, Competitive research funding, Grant-in-Aid for Scientific Research (A) - Theoretical and Empirical Study on the Dissemination Policy forRenewable Energy Equipment in Urban Area and Acceptance of Inhabitants
MATSUOKA Kenji; MASUDA Keiko; TSUJIMURA Motoo; OOTSUKA Naotake; FUJIKAWA Kiyoshi
Reducing the habitant’s concern about building wind turbine, we must pay additional cost. We estimated the amount of willingness to pay to cover this additional cost. We also estimate the willingness to pay for the CO2 reducing investment, and find that there are differences between regions and income classes. For the pollution reducing investment, we develop firm’s strategic optimal investment modelunder uncertainty by using real option approach., Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research, 2010 -2012, Grant-in-Aid for Scientific Research (C), Ryukoku University - System Analytic Approach to Financial Technology, Management and Governance
Hiroshi Takamori
This research project aimed at identifying relevant models and management principles for revitalizing Japanese industries that have been experiencing severe stagnation recently. The study began by examining those unique paradigms that drove the phenomenal development of Japanese economy after the devastation of the Second World War. We also examined how those paradigms lost their validity and vigor with the turn of 1990s. Major findings include recommendations for invigorating entrepreneurship via new types of incentive contract and renewing organizational governance in accordance with recent trends of social changes. Some focus was placed on the challenge and vigor that are driven by the incentives of equity capital. In particular, the framework of Real Option was identified as a most promising basis for driving innovation with the challenge to future risk in proper perspectives. Under the auspices of the Grant-in-Aid, a series of "Study Meeting Opened for Public : Financial Engineering and Management" was held monthly. The active participants in the study meetings came alive with the significance of Real Option and founded the Japan Association for Real Options and Strategy at the west Waseda campus of Waseda University on July 28, 2006. Research results are organized and published in two separate books, as follows. 1. Takamori, H., and M. Ide, Ed., "Financial Engineering as Applied to Agency Problems and Contract Designs,", Toyo-Keizai-Shimpo, 2006 2. Japan Association of Real Options and Strategy, Ed., "Real Options and Business Strategy," Sigma and Base Capital Corp., 2006 The research results are also documented in the final report of this research project., Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), 2004/04 -2007/03, Competitive research funding, Grant-in-Aid for Scientific Research (B) - Studies on Financial Models with Transaction Costs and Default
Motoh Tsujimura
上記研究目的を達成するため,本年度に取り組んだ研究は,取引費用を考慮した投資プロジェクトの評価や,自己株式取得政策の評価である. 投資プロジェクトの評価に関しては,企業の設備規模の拡張と縮小の両方向の変更問題を考察した.設備の規模を変更する際には,変更規模とは独立に定まる調整費用と,規模に依存して定まる2種類の調整費用を考慮した.規模に依存して決まる調整費用は,非線形の調整費用を考えるため,先ず,2次形式で定まる場合を考察した.また,企業が設備を用いて生産する財は,コブダグラス型生産関数により生産され,生産物の価格が確率微分方程式に従うとした.このような設定の下,企業の問題を考察するために,企業の期待総利潤最大化問題を確率インパルス制御問題として定式化した.分析の結果,準変分不等式から導き出される政策が,最適な政策であることを示した. 一方,自己株式取得政策の分析においては,インパルス制御理論を応用し,自己株式取得の実施時刻と取得額を求めた.分析においては,自己株式取得額の期待総割引現在価値を最大とする企業の問題を考えた.また,デフォルト現象などを考慮し,自己株式取得の原資となるキャッシュリザーブの水準が,離散的に変動する場合を分析した.これを表すために,キャッシュリザーブがジャンプ拡散過程に従うとした.以上の自己株式取得政策の分析と平行し,非線形の制御費用の分析の第一歩として,インパルス制御理論において,主体の毎時発生する費用と制御費用がともに2次形式で表される費用最小化問題を考察した.考察の結果,準変分不等式から導き出される政策が最適な政策であることを示した.この成果を,先に説明した投資プロジェクトの評価に応用している., 日本学術振興会, 科学研究費助成事業 若手研究(B), 2003/04 -2006/03, Principal investigator, Competitive research funding, 若手研究(B)