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Asia-Pacific Financial Markets
Published in: Asia-Pacific Financial Markets 2/2022

30-09-2021 | Original Research

Both Sensitive Value Measure and its Applications

Author: Yoshio Miyahara

Published in: Asia-Pacific Financial Markets | Issue 2/2022

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Abstract

In this paper we introduce the both sensitive value measure, which is an extended value measure of the risk sensitive value measure. We also introduce aggressiveness index, and we apply these concepts to the evaluation of venture businesses.
previous article Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis

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Literature
Ban, R., Misawa, T., & Miyahara, Y. (2016). Valuation of Hong Kong REIT based on risk sensitive value measure method. International Journal of Real Options and Strategy, 4(2016), 1–33.CrossRef
Furukawa, Y., Miyauchi, H., & Misawa, T. (2017). Basic study on thermal power plant investment Portfolio based on risk-sensitive value measure. In Proceedings of 2017 the international conference on electrical engineering (ICEE2017, Weihai, 4–7 July. 2017) (pp. 1–6).
Furukawa, I., Miyauchi, H., & Misawa, T. (2018). Extension of effective load carrying capability using risk-sensitive value measure. In Proceedings of 2018 the international conference on electrical engineering (ICEE2018, Seoul, 24–28 June 2018) (pp. 1–5) F20180228-1042.
Hodoshima, J. (2019). Stock performance by utility indifference pricing and Sharp ratio. Quantitative Finance, 19, 327–338.CrossRef
Hodoshima, J., & Miyahara, Y. (2020). Utility indifference pricing and the Aumann–Serrano performance index. Journal of Mathematical Economics, 86, 83–89.CrossRef
Hodoshima, J., Misawa, T., & Miyahara, Y. (2018). Comparison of utility indifference pricing and mean-variance approach under normal mixture. Finance Research Letter, 24, 221–229.CrossRef
Hodoshima, J., Misawa, T., & Miyahara, Y. (2020). Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan. Asian-Pacific Financial Markets, 27, 155–174.CrossRef
Miwa, M., & Miyahara, Y. (2010). Real option approach to evaluation of plant maintenance strategies based on the controlled Markov process. Journal of Real Options and Strategy, 3, 1–23. (in Japanese).CrossRef
Miyahara, Y. (2010). Risk-sensitive value measure method for projects evaluation. Journal of Real Options and Strategy, 3(2), 185–204.CrossRef
Miyahara, Y. (2014). Evaluation of the scale risk. In RIMS Kokyuroku, No. 1886, ‘Financial Modeling and Analysis (2013/11/20–2013/11/22) (pp. 181–188).
Miyahara, Y. (2017). [Note] Risk sensitive value measure methods for project evaluations. Communications of the Japan Association of Real Options and Strategy, 9(2), 1–95. (Monograph in Japanese).CrossRef
Miyahara, Y. (2020). Inner rate of risk aversion (IRRA) and its application to investment selection. Asian-Pacific Financial Markets, 27, 193–212.CrossRef
Miyahara, Y., & Tsujii, Y. (2011). Applications of risk-sensitive value measure method to portfolio evaluation problems. Discussion Papers in Economics, Nagoya City University. (No. 542, pp. 1–12).
Rolski, T., Schmidli, H., Schmidt, V., & Teugels, J. (1999). Stochastic processes for insurance and finance. Wiley.
Metadata
Title
Both Sensitive Value Measure and its Applications
Author
Yoshio Miyahara
Publication date
30-09-2021
Publisher
Springer Japan
Published in
Asia-Pacific Financial Markets / Issue 2/2022
Print ISSN: 1387-2834
Electronic ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-021-09352-6

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