Hiroshi Tsuda

New Bond Pricing Models with Applications to Japanese Data

In this paper, the cross-sectional bond pricing model for individual bonds Kariya (1993) proposed by formulating stochastic discount function (term structure) is first applied to Japanese Government bond (JG-bond) data. The model performs very well as it stands. Second, we generalize the cross-sectional model to two types of time-dependent Markov models (TDMs) with the term structure of discount rates of each bond att being dependent on the one att−1, and apply them to the same data to find significantly improved results over those of the cross-sectional model. In fact, almost all the differences between actual prices and model values are less than 0.5 yen in each month over 12 years, implying that the error rate is less than 0.5%. On the basis of our analysis, we propose a TDM as a model for JG-bond trading.

Versatile route planning for sightseeing with tourist's satisfaction dependent on fatigue degree

This paper proposes a versatile route planning problem for sightseeing with fuzzy random variables based on constraints of required traveling times and total satisfaction of sightseeing activities. In general, traveling times among sightseeing places and the satisfactions of activities depend on weather and climate conditions. Furthermore, the satisfactions of activities are also dependent on the tourists fatigue degree. Therefore, the fuzzy random variables for traveling times and satisfactions of activities dependent on the fatigue degree under uncertainty are introduced. Tourists will like to do their favorable route planning without drastically changing the tour route of usual condition such as fine even if the weather condition changes for the worse. A new route planning problem is proposed to obtain the favorable route similar to the optimal route under the usual condition. As a basic case of fuzzy numbers, interval values and the order relation are introduced. From the order relation, the proposed model is transformed into an extended model of network optimization problems. A numerical example is provided to compare the proposed model with standard route planning problems for sightseeing.

CB – Time Dependent Markov Model for Pricing Convertible Bonds

In this paper, we propose what we call the convertible bond (CB) – timedependent Markov model, which prices N given individual convertible bondssimultaneously, and apply it to Japanese convertible bond data. One of themain features of the model is that it makes full use of the correlationstructure of convertible bond prices. The empirical results show that themodel well describes individual prices in the market.

Prediction of individual JG bond prices via the TDM model

Kariya and Tsuda (1995) demonstrated the predictive power of TDM (time dependent Markov) model for individual bond prices with the end-of-month price data of JG (Japanese Government) bonds with initial maturities of 10 years. The model predicted well the monthly term structure of the individual JG bond prices for the period 1991.1-1992.12 though there are only four parameters in the model, where there are about 80 bonds for each month. In fact, the prediction standard error for the period is 0.9 yen while the estimation standard error is less than 0.3 yen, where the face value of a JG bond is 100 yen. We again test the prediction power of the TDM model with the end-of-month price data of JG bonds for the period 1993.1-1995.12 when the interest rate level was low, and observe that the model loses the predictive power when interest rates change volatilly even though the overall performance is good. The observation follows from the fact that the VAR (vector autoregressive) model for predicting four time dependent parameters in the model, which is modelled based on the cross-sectionally estimated parameters, fails to keep a stable prediction power for months of volatile interest rates. It is remarked that the TDM model is proposed by Kariya and Tsuda (1994) as a time series extension of the CSM (Cross-Sectional Market) model for individual bond prices Kariya (1993) formulated.

Application of Fuzzy Theory to the Investment Decision Process

In the present paper, we propose a new approach to portfolio optimization that allows portfolio managers to construct portfolios that reflect their views about risk assets by applying fuzzy theory. The proposed approach to the investment decision process is based on the mean-variance approach proposed by Markowitz (1952,1959) and uses the concept of asset market equilibrium proposed by Sharpe (1964). For portfolio managers, it is very meaningful to use the equilibrium expected excess returns associated with the capital market as a reference. The proposed approach enables a new method for incorporating the views of portfolio managers to aid in the investment decision process. Moreover, in order to estimate the distribution of an unknown true membership function of the views of portfolio managers concerning risk assets, we propose a fuzzy information criterion to evaluate the fitness of the distribution between an unknown true membership function and a hypothetical membership function. In particular, the proposed approach enables a group of portfolio managers of pension funds to obtain an important solution that realizes optimal expected excess returns of risk assets by specifying the vague views of portfolio managers as a fuzzy number.

A participatory web-based environmental load estimation and labeling system

With a participatory web-based environmental load estimation and labeling system, enterprises can make substantial benefit, by choosing less environmental load materials, energy use and waste disposal, leading to less environmental load labeled products. The system estimates CO2, SOx, NOx, DOD and other environmental loads, under given scenarios of selected row materials (intermediate products), energy use and waste disposal, retrieving pre-labeled environmental loads of selected materials. The credibility criteria of the estimation were set in the system, as guidelines of assessment accuracy and reliability of data source. The system assigns a unique ID with an electronic authentication and discloses environmental loads of every material, product, service and disposal, as an environmental label, when the participating enterprises register actual products or services for the labeling. It enables to trace back the labels, throughout the supply, production, consumption and disposal chain. The system leads to less environmental load production, hence a global environment-conscious society.

Time Series Analysis of Financial Asset Price Fluctuations

With the appreciation of stock prices in the late 1980s and subsequent crash in the 1990s, financial institutions and institutional investors have once again realized that asset management by holding large positions in volatile high-risk assets such as stocks carries the danger of incurring huge losses. This has focused attention on the need to improve risk management and asset management efficiency.

Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method

This paper proposes a robust-based mean-variance portfolio selection problem with random fuzzy returns using a fuzzy reasoning method, particularly a standard TS fuzzy reasoning method. Arbitrage Pricing Theory (APT) is introduced as a future return of each security, and each factor in APT is assumed to be a random fuzzy variable whose mean is derived from a fuzzy reasoning method. Furthermore, under interval inputs of fuzzy reasoning method, a robust programming approach is introduced in order to minimize the worst case of the total variance. The proposed model is equivalently transformed into the deterministic nonlinear programming problem, and so the solution steps to obtain the exact optimal portfolio are developed.

An interactive approach to multiobjective tour route planning problems

This paper considers a new multiobjective tour route planning problem in order to maximize the sum of values of tourist spots to be visited and to minimize the tiredness caused by moving from place to place. The planning is formulated as a multiobjective 0–1 programming problem, and an interactive algorithm is provided to find a satisficing solution of tourists which takes account of their preferences.

The empirical analysis via the corporate brand power evaluation model

In the 21st century, a shift in the principal component of the value and growth potential of companies from tangible assets to intangibles, notably brand power and technological capabilities, is occurring. Intangibles are things that generate future cash flows (claim rights) having no physical form, but do not include financial instruments. Intangibles are underlying assets that create competitive advantage over rival companies. Brands, in particular, have come from being regarded as marketing assets to being considered important assets of the company as a whole subject to asset recognition and are considered intangible assets of strategic importance to business management. Corporate brand management is now a business management issue, and brand value indices are essential for supporting brand management. In this paper, we present the results of the empirical analysis via the corporate brand power evaluation model proposed by H. Tsuda (2010). As the important aspect of a companys value and growth potential from the perspective of business management shifts from tangible assets to intangibles, corporate brand power is expected to become increasingly important. From the empirical results, we find useful evidence that the corporate brand power evaluation model performs well for the estimation of the level of corporate brand power.