Winter Workshop on Operations Research,
Finance and Mathematics, 2024
February 29 – March 4

Invited Speakers:
Konstantin Borovkov, Sebastian Jaimungal, Juri Hinz,
Yuri Kabanov, Nino Kordzakhia, Yue Kuen Kwok, Vincent Liang,
Alexander Novikov, and Mikhail Zhitlukhin.
Committee: Yukio Muromachi, Katsumasa Nishide, Takashi Shibata, Kohta
Takehara, Tomonori Uchiyama, Kyoko Yagi, Toshinao Yoshiba, Tomooki Yuasa,

Local Organizer: Teruyoshi Suzuki
Venue: Asarigawaonsen Hotel, Otaru city, Hokkaido, Japan
Registration Fee: JPY 30,000
Organized by:
Research Center for Quantitative Finance, Tokyo Metropolitan University
The Operations Research Society of Japan, Hokkaido BranchSchedule
All sessions are held in the 3rd floor conference room.
Feb. 29 (Thu)
Lecture9:00 - 12:00 Ryo Miyata (Canceled)
Workshop
Chair: Youri Kabanov
14:00-15:00 Alexander Novikov, On parameter estimation diffusion
processes: revisiting the sequential and fixed sample time approaches.
15:00-16:00 Masaaki Fukasawa, Backward stochastic difference equations
on lattices with application to market equilibrium analysis.
BreakChair: Takanori Adachi
16:15-17:15 Vincent Liang, On boundary crossing probabilities of diffusion
processes.
17:15-18:15 Makoto Shimoshimizu, Trade execution games in a Markovian
environment

Mar. 1 (Fri)
Lecture9:00 - 12:00 Ryo Miyata (Canceled)
Workshop
Chair: Sebastian Jaimungal
14:00-15:00 Katsumasa Nishide, Competition in Liquidity Provision:
Analysis of High-Frequency Market-Making and Policy Implications
15:00-16:00 Toshinao Yoshiba, Tail dependence of copulas for financial risk
factors
Break
Chair: Vincent Liang
16:15-17:15 Nino Kordzakhia, On Maximal Inequalities andApplications.
17:15-18:15 Takanori Adachi, Hierarchical Structure of Uncertainty.

theirMar. 2 (Sat)
Lecture (Japanese Language)
9:00 - 12:00 Katsumasa Nishide 「債券投資分析」
Workshop
Chair: Alexander Novikov
14:00-15:00 Kakeru Ito, The dynamics of tail dependence structure among
multi-asset classes and its significance for portfolio management.
15:00-16:00 Konstantin Borovkov, Large deviation probabilities for random
walks: Light vs heavy tails.
Break
Chair: Yue Kuen Kwok
16:15-17:15 Tomooki Yuasa, Second order unbiased simulation methods for
Bally-Kohatsu's backward type and Henry-Tan-Touzi type.
17:15-18:15 Juri Hinz, Modelling Interest Rates with Forward Market
Models.

Mar. 3 (Sun)
Local Workshop (Japanese Language)
Chair: 八木恭子
8:40 - 9:10 石井一成「地域銀行の気候変動リスクに関する分析」
9:10 - 9:40 中村伊知雄「預金取扱金融機関における債務者区分にかかる格付遷
移行列の一因子表現を用いたフォーワードルッキングな一般貸倒引当金の算出」
9:40 - 10:10 兼子晃寛「スパースグリッドを用いた後退確率微分方程式のマルチレベル空間離散化手法」
Break
Chair: 湯浅智意
10:30 - 11:00 山崎太裕「Hawkes 過程に従う取引事象における Market Makerのモデルリスク評価」
11:00 - 11:30 西崎薫 「コモディティ市場におけるファクターの特徴とファクター間の関係性」
11:30 - 12:00 姫野公佐 「投資信託の資金フローに関わる要因分析」
Workshop
Chair: Juri Hinz
14:00-15:00 Youri Kabanov, Optimal pair trading: consumption-investment
problem.
15:00-16:00 Chiaki Hara, An Arrow-Pratt-Type Measure of Ambiguity
Aversion.
Break
Chair: Mikhail Zhitlukhin
16:15-17:15 Takashi Shibata, Does debt-equity financing accelerate
investments faster than all-equity financing? A real options framework.
17:15-18:15 Yue Kuen Kwok, Analytic solvability and efficient numerical
schemes for pricing exotic derivatives under general stochastic volatility
models.

Mar. 4 (Mon)
Lecture (Japanese Language)
9:00 - 12:00 Katsumasa Nishide 「債券投資分析」
Workshop
Chair: Nino Kordzakhia
14:00-15:00 Kohta Takehara, Analysis on Structure of Decentralized
Exchanges.
15:00-16:00 Mikhail Zhitlukhin, Convergence of forecasts in prediction
markets.
Break
Chair: Konstantin Borovkov
16:15-17:15 Ryoji Takano, A partial rough path space for rough volatility
17:15-18:15 Sebastian Jaimungal, Minimal Kullback-Leibler Divergence forConstrained Levy-Ito Processes and Applications.
18:15 Closing address by Tomonori Uchiyama, Director of Research Center for
Quantitative Finance, Tokyo Metropolitan University, Japan

Feb. 29 (1)On parameter estimation diﬀusion processes: revisiting
the sequential and ﬁxed sample time approaches
Alexander Novikov
University of Technology, Sydney (UTS), Australia
In this talk, we will revisit some results from the monograph ”Statisticsof Random Processes, Vol. II, Springer, 2001” by R.Liptser and A.Shiryaev
concerning estimation and testing of parameters of a drift function. We will
present general formulae for moments of the sequential maximum likelihood
estimators (MLE) of the parameters. Then we will consider a class of meanreverting ergodic diﬀusion process X = {Xt , 0 ≤ s ≤ τ } with a volatility of
the form σXtγ , γ ≥ 0, and a drift λ(θ − Xt ), where τ is any stopping time. In
particular, we will present the analytical results for exact values of the bias
and mean-squared-error of MLE λT when T=const (i.e. a ﬁxed sample size).
We also consider the sequential estimator λτH with the stopping time τHthat guarantees the predeﬁned variance of (1/H). For comparative analysis,
we will also provide some analytical and numerical results.
This presentation is based on joint papers with Dr. Nino Kordzakhia(Macquarie University, Sydney) and Albert Shiryaev (Steklov Mathematical
Institute).

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Feb. 29 (2)Backward stochastic diﬀerence equations on lattices
with application to market equilibrium analysis
Masaaki Fukasawa
Osaka University, Japan
We study backward stochastic diﬀerence equations (BS∆E) driven by a ddimensional stochastic process on a lattice whose increments have only d + 1
possible values that generates the lattice. Regarding the driving process as ad dimensional asset price process, we give applications to an optimal investment problem and a market equilibrium analysis, where utility functionals
are deﬁned through BS∆E. A joint with Takashi Sato and Jun Sekine.

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Feb. 29 (3)On boundary crossing probabilities of diﬀusion processes
Vincent Liang
The University of Melbourne, Australia
We discuss two results related to the probability F (g− , g+ ) that a generaltime-inhomogeneous diﬀusion process X stays between two curvilinear boundaries g− and g+ (possibly with g± = ±∞) during a ﬁnite time interval.
First we discuss a discrete time discrete space Markov chain approximation to X with a Brownian bridge correction for computing F (g− , g+ ).
For a broad class of g± and diﬀusion processes, we prove the convergenceof the constructed approximations to F (g− , g+ ) in the form of products of
the respective substochastic matrices as the time grid is getting ﬁner. Numerical results indicate that the convergence rate is O(n−2 ) in the case of
C 2 -boundaries and a uniform time grid with n steps.
In the second part of the talk, in the case when g ∈ C 2 , we prove theexistence of and obtain an explicit compact representation for the Gâteauxderivative ∇h F (−∞, g) of the boundary non-crossing probability functionalin the direction h ∈ H ∪ C 2 .
Joint work with K. Borovkov.

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Feb. 29 (4)Trade execution games in a Markovian environment
Makoto Shimoshimizu
Tokyo University of Science, Japan
This paper examines a trade execution game model in a Markovian environment. We focus on how two risk-averse large traders execute a large volume
of a risky asset to maximize each large trader’s expected utility from theterminal wealth over a ﬁnite horizon. The price impact caused by the large
traders and what we call the Markovian environment are assumed to aﬀect
the market price and execution price. Formulation as a Markov game model
enables us to solve this problem. We obtain an execution strategy and its
associated value function under a Markov perfect equilibrium via the backward induction method of dynamic programming. Comparative statics withsimulation-based analysis reveals that the execution strategy at the Markov
perfect equilibrium can capture the feature observed in ﬁnancial markets.

4Mar. 1 (1)Competition in Liquidity Provision: Analysis ofHigh-Frequency Market-Making and Policy Implications
Katsumasa Nishide
Hitotsubashi University, Japan
We construct a ﬁnancial market model wherein market makers post limit
orders to compete for liquidity provision. We show that market makers may
relinquish liquidity provision because of competition if the fundamental valueof the asset is volatile. Besides the general perception that cancellation harms
market liquidity, we ﬁnd that cancellation can sustain liquidity and prevent
depletion. Moreover, this ﬁnding, as well as others, leads to an important
policy implication that the cancellation strategy, one of the most prominent
characteristics of high-frequency trading, can positively aﬀect market liquidity and should not be strictly regulated. (Joint work with Takaki Hayashi)

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Mar. 1 (2)Tail dependence of copulas for ﬁnancial risk factors
Toshinao Yoshiba
Tokyo Metropolitan University, Japan
Tail dependence of risk factors matters in ﬁnancial portfolio risk management. The normal (Gaussian) copula was widely used to evaluate the valueof collateralized debt obligation before the global ﬁnancial crisis in 2009.
The method was criticized as the normal copula cannot well capture thejoint loss of underlying assets in stress due to the asymptotic independence.
Against the background, the Student-t copula with more tail dependence
than the normal copula is sometimes utilized in practice for ﬁnancial risk
factors. Furthermore, to capture stronger tail dependence of the lower sideof risk factors than that of the upper side, some recent studies incorporate
the skewness in the normal or the Student-t copulas. In this talk, we focus
on the tail dependence of the normal, Student-t, skew-normal, skew-t copulas. We theoretically summarize the recent studies (Yoshiba, 2018; Yoshiba,
Koike, and Kato, 2023) for the tail dependence of the bivariate copulas withintroducing the notion of the tail order.

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Mar. 1 (3)On Maximal Inequalities and their Applications.
Nino Kordzakhia
Macquarie University, Australia
We will overview the extensions of the Kolmogorov inequality for the distribution of the absolute value of the maximum of the sum of centered independent random variables to the case of martingales at random stopping
times. We will discuss the new results related to the exponential inequalities for maximum of a generalised Ornstein-Uhlenbeck process (gO-U) undersome assumptions on tail distributions of a jump component. A survey ofthe applications of the maximal inequalities will be also provided.

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Mar. 1 (4)Hierarchical Structure of Uncertainty
Takanori Adachi
Tokyo Metropolitan University, Japan
We express n-layer uncertainty, which we call hierarchical uncertainty byintroducing a new concept called uncertainty spaces that is an extended concept of probability spaces and U-sequence that is a hierarchically constructedsequence of uncertainty spaces. We use U-sequences for providing examples
that illustrate Ellsberg’s paradox. Then, we analyze the structures with tools
in category theory.

8Mar. 2 (1)The dynamics of tail dependence structure among
multi-asset classes and its signiﬁcance for portfolio
management
Kakeru Ito
Nissay Asset Management, Japan
In this study, we propose AC dynamic skew-t copula with cDCC model tocapture dynamic asymmetric tail dependence structure among multi-asset
classes (government bonds, corporate bonds, equities, and REITs). The empirical analysis shows that our proposed dynamic AC skew-t copula ﬁts dataof multi-asset classes better than other dynamic elliptical copulas including
conventional dynamic skew-t copula in terms of AIC and BIC. Besides, lower
tail dependence coeﬃcients have recently increased compared to upper taildependence coeﬃcients for all pairs. It indicates that the diversiﬁcation eﬀect
through multi-asset investment has been decreasing, and investors should enhance tail risk management. Furthermore, out-of-sample analysis shows thatusing dynamic skew-t copula, especially our proposed model, enhances expected shortfall (ES) estimation accuracy and the performance of minimum
ES portfolio compared to dynamic t copula and dynamic normal copula. It
indicates that capturing dynamic asymmetric tail dependence is crucial for
multi-asset investment. Joint work with Toshinao Yoshiba.

9Mar. 2 (2)Large deviation probabilities for random walks: Light vsheavy tails
Konstantin Borovkov
The University of Melbourne, Australia
Random walks are important models for real-life processes, including claim
surplus processes for insurance companies, where light-tailed jump distributions are usually assumed for life insurance, and heavy-tailed – for non-life
one. We will present the fundamentals of the large deviations theory for
random walks, touching on both light- and heavy-tailed cases, and outline
results on the asymptotics of the probabilities of remote curvilinear boundary crossing by the walks. We will also discuss large deviation results in thecase of right-censored jumps in the random walk. [Part of the work was joint
with A. Chong.]

10Mar. 2 (3)Second order unbiased simulation methods for
Bally-Kohatsu’s backward typeand Henry-Tan-Touzi type
Tomooki Yuasa
Tokyo Metropolitan University, Japan
Wagner (1989), Bally-Kohatsu (2015), and Henry-Tan-Touzi (2017) developed unbiased simulation methods, which are stochastic numerical methods
for functionals of solutions of stochastic diﬀerential equations. The unbiased
simulation method is characterized by the absence of weak errors and fastcomputation time. However, the variance is not necessarily ﬁnite. Therefore,
Anderson-Kohatsu-Yuasa (2020) developed a second-order unbiased simulation method in which all moments, including the variance, are ﬁnite. They
achieved this by applying Romberg’s method to the order of an inﬁnite series expansion of the functional. Their paper discusses in particular BallyKohatsu’s forward type unbiased simulation method. In this presentation, I
will introduce second order unbiased simulation methods for Bally-Kohatsu’s
backward type and Henry-Tan-Touzi type.

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Mar. 2 (4)Modelling Interest Rates with Forward Market Models
Juri Hinz
National Australia Bank, Australia
The modern practice in ﬁnancial industry is based on interest rate models
which incorporate both, the spitting of the discount curve and the mechanisms to deal with the cessation of LIBOR rates. As a result, practitioners
face a technically challenging situation, which requires dealing with several
discount curves at once, while handling diverse fall-back rules for appropriate LIBOR proxies. In this framework, pricing models are usually highdimensional and even simplest instruments are easily becoming highly pathdependent. This talk reﬂects an insider’s view of the so-called Forward Market Model (FMM) – a state-of-the-art approach which is designed to support
all useful LIBOR methodologies in the post-LIBOR multi-curve era.

12Mar. 3 (1)Optimal pair trading: consumption-investment problem
Youri Kabanov
Lomonosov Moscow state university and the ”Vega” Institute, Moscow,
RussiaThe pair trading is based on the idea that stocks of companies having similarbusiness are strongly correlated and their diﬀerence ﬂuctuates near zero. A
trader matches a long position with a short position in two stocks having ahigh correlation. The portfolio value increment is proportional to the increment of the spread between prices. By this reason such a setting, frequently
used by hedge funds, is also called spread trading. The spread trading is
intensively used by hedge funds and the literature on it is enormous. In thistalk we present a complete solution of the problem on a ﬁnite time intervalin the setting similar to that of the famous Merton problem. This solution
is much simpler than available in the literature and merits to be included in
the advanced lecture courses on stochastic control. The talk is based on a
joint note with Alexei Kozhevnikov.

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Mar. 3 (2)An Arrow-Pratt-Type Measure of Ambiguity Aversion
Chiaki Hara
Kyoto University, JapanWe deﬁne a measure of ambiguity aversion for ambiguity-averse utility functions in a way analogous to the Arrow-Pratt measure of risk aversion. The
measure is determined by the second Peano derivative, which exists even for
non-diﬀerentiable functions, such as maximin and Choquet expected utility
functions. Unlike the standard notion of comparative ambiguity aversion,it allows us to compare ambiguity aversion between two utility functions
exhibiting diﬀerent risk attitudes. We introduce a notion of ambiguity premium and show that our measure is related to the second-order, as opposedto the ﬁrst-order, ambiguity premium. We also show that it is related to theﬁrst-order impact on matching probabilities of the size of prizes.

14Mar. 3 (3)Does debt-equity ﬁnancing accelerate investments fasterthan all-equity ﬁnancing? A real options framework
Takashi Shibata
Tokyo Metropolitan University, Japan
This study examines whether debt-equity ﬁnancing accelerates investments
faster than all-equity ﬁnancing. This is the case in non-competitive markets(i.e., monopolies) because the ﬁrm obtains full leverage eﬀects. We use theapproach taken by Dixit and Pindyck (1994, Section 8.2) to describe thecompetitive market structure and show that the claim does not necessarily hold in competitive markets. In particular, debt-equity ﬁnancing delays
investments more than all-equity ﬁnancing when market competitiveness ishigh. Investments by debt-equity-ﬁnanced ﬁrm are delayed owing to two
mechanisms. First, market competition forces debt-equity-ﬁnanced ﬁrms to
reduce their leverage eﬀects, which is consistent with the results of past empirical studies. Second, investments are more elastic than ﬁnancing when we
consider interactions because the ﬁrm does not want to reduce the leverage
eﬀect.

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Mar. 3 (4)Analytic solvability and eﬃcient numerical schemes
for pricing exotic derivatives
under general stochastic volatility models
Yue Kuen Kwok
FinTech Thrust, Hong Kong University of Science and Technology,
Guangzhou, China
A thorough investigation on analytic solvability of general stochastic volatility models with jumps is presented. By an eﬀective measure change technique, we develop an eﬀective analytic approach of deriving the conditional
moment generating functions that are essential for developing eﬃcient numerical schemes for pricing derivatives under a wide variety of stochastic
volatility models. Computational eﬃciency is much enhanced to the extent
that numerical pricing of discrete exotic variance derivatives only requires a
few dozen CPU seconds with numerical accuracy up to 3 to 4 signiﬁcant ﬁgures. The bottleneck of the time-consuming Fourier inversion in traditional
exact simulation schemes is resolved.

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Mar. 4 (1)Analysis on Strucure of Decentralized Exchanges
Kohta Takehara
Tokyo Metropolitan University, Japan
Decentralized exchanges are a key concept in DeFi. They often employ automated market makers, which are algorithms that pool liquidity and makeit available to users of the DEX at automatically determined prices. This
study categorizes DEX players into Platformers, Liquidity Providers, Arbitrageurs, and Traders, and analyzes how the structure of DEXs is aﬀectedby the actions and optimizations of these players. Some numerical examples
intuitively illustrate the trade-oﬀs between the players.

17Mar. 4 (2)Convergence of forecasts in prediction markets
Mikhail Zhitlukhin
Steklov Mathematical Institute, Russia
Prediction markets are artiﬁcial markets designed for aggregating information scattered among traders. We construct a dynamic model of a prediction
market and study conditions for convergence of aggregated forecasts to true
conditional expectations. The main results are based on martingale convergence theorems.

18Mar. 4 (3)A partial rough path space for rough volatility
Ryoji Takano
Osaka University, JapanWe develop a variant of rough path theory tailor-made for analyzing a classof ﬁnancial asset price models known as rough volatility models. As anapplication, we prove a pathwise large deviation principle (LDP) for a certainclass of rough volatility models, which in turn describes the limiting behaviorof implied volatility for short maturity under those models. This presentation
is based on a joint work with Professor Masaaki Fukasawa.

19Mar. 4 (4)Minimal Kullback-Leibler Divergence for Constrained
Levy-Ito Processes and Applications
Sebastian Jaimungal
University of Toronto, Canada
In many settings, a modeler may have trained a model on data but thattrained model is not consistent with their beliefs - e.g., the average time theprocess spends below some barrier is 10% from the estimated model, but
their belief about the future evolution is that it should be 20%. Hence, theywould like to modify this model in a minimal manner that respects their beliefs. Here we study such questions. More generally, given an n-dimensional
stochastic process X driven by P-Brownian motions and Poisson randommeasures, we seek the probability measure Q, with minimal relative entropy
to P, such that the Q-expectations of some terminal and running costs areconstrained. We prove the existence and uniqueness of the optimal probability measure, derive the explicit form of the measure change, and characterise
the optimal drift and compensator adjustments under the optimal measure.
This talk will provide a high level view of how we solve this problem andseveral examples stemming from ﬁnance and insurance.

20Mar. 3, Local Workshop (1)

地域銀行の気候変動リスクに関する分析石井 一成
東京都立大学大学院 経営学研究科
本研究では，Jung/Engle/Berner [2023] が提案する気候変動リスク指標 CRISKを用いて，日本の地域銀行の気候変動リスクを推定し，地域銀行の TCFD 開
示と融資ポートフォリオの産業構成が気候変動リスクに与える影響を分析した．その結果，気候リスクファクターに対する株価リターンの感応度である
気候ベータと CRISK が 2017 年から 2022 年にかけて増加傾向にあり，気候
変動リスクに関する情報開示や融資ポートフォリオの産業構成におけるブラウン産業の割合の高まりが，地域銀行の気候ベータまたは CRISK を高める
ことがわかった．

21Mar. 3, Local Workshop (2)

預金取扱金融機関における債務者区分にかかる
格付遷移行列の一因子表現を用いた
フォーワードルッキングな一般貸倒引当金の算出
中村 伊知雄東京都立大学大学院 経営学研究科
預金取扱金融機関の正常先債権と要注意先債権にかかる一般貸倒引当金については、過去の貸倒実績率等をベースとした手法で見積もる実務慣行が定着してきた。近年、世界的に発生損失型引当金から予想損失型引当金（IFARS9、
CECL）への移行が進んでいることなどを背景に、本邦でも「過去の貸倒実
績率等に限らず、将来予測情報等、幅広い情報から信用リスクを認識する」
フォーワードルッキング型の引当金の導入が進みつつある。しかしながら、こうしたフォーワードルッキング型の引当金に関する具体的な算出は、人員制約のある地域金融機関では自力でのモデル構築に困難を伴うほか、都道府
県単位の統計情報等は限られるなど、データ面での制約も大きい。そこで本研究では、このような制約を意識し、正確性と実務上の扱いやすさのバラン
スを考慮した一般貸倒引当金の算出方法として、債務者区分にかかる格付遷
移行列の一因子表現を用いた手法について、実際の地方銀行での事例を取り上げて提示する。

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Mar. 3, Local Workshop (3)スパースグリッドを用いた後退確率微分方程式のマルチレベル空間離散化手法
兼子晃寛
大阪大学大学院 基礎工学研究科
ブラウン運動 (BM) で駆動される高次元後退確率微分方程式 (BSDE) を空間離散化し、連続時間有限状態マルコフ連鎖 (CTMC) で駆動される BSDE を導出することを考える。標準的な格子上での離散化の場合、CTMC の状態数
が元の BM-BSDE の空間次元に対し指数関数的に増大し、数値計算においては「次元の呪い」が発生する。本研究では、様々な解像度の格子上に配置された複数の CTMC-BSDE の解を組み合わせて、BM-BSDE の解を効率的かつ精度高く近似する、スパースグリッド法に基づいたマルチレベル離散化法を提案する。

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Mar. 3, Local Workshop (4)Hawkes 過程に従う取引事象におけるMarket Maker のモデルリスク評価
山崎太裕
東京都立大学大学院 経営学研究科
本研究では、市場で指値注文を繰り返し発注する Market Maker を分析対象とする。Avellaneda and Stoikov (2008) では市場の注文発生が Poisson 過程に従うと想定し、最適 spread の近似式を導出している。一方、田代・川口(2017) では市場の注文発生は Poisson 過程を一般化した Hawkes 過程を用いることでより精緻に表現できる特徴を持つことが指摘されている。本研究では、市場の注文発生が Poisson 過程に従うと想定し、Avellaneda and Stoikov(2008) による spread を用いる Market Maker のもつモデルリスクを評価したい。このため、本邦株式データより Hawkes 過程のパラメータを推定した
上で、Market Maker が Poisson 過程を前提に算出した資産額・手元流動性・在庫量に関するリスク量と、推定された Hawkes 過程を前提に再計算されたリスク量の差をモデルリスクとして捉え、比較・分析をおこなう。

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Mar. 3, Local Workshop (5)コモディティ市場におけるファクターの特徴とファクター間の関係性
西崎薫
東京都立大学大学院 経営学研究科
コモディティ市場におけるファクターに焦点を当て，その特徴やファクター間の関係を明らかにする．リターンをキャピタルゲインとイールドの 2 種類に分解して分析を行い，ファクターにおける新たな特徴や関係性を発見する．また，株式ファクターとの関係やボラテリティとの関係についても分析を行う．

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Mar. 3, Local Workshop (6)

投資信託の資金フローに関わる要因分析
姫野公佐
東京都立大学大学院 経営学研究科
投資信託の資金フローの要因を、過去のパフォーマンスが将来の資金フローに影響を与えるとする情報シグナル仮説と、ディスポジション効果や宝くじ
選好、ナンピン買いが関係しているとする行動バイアス仮説の 2 つの観点か
ら実証分析を行った。その結果、投資家は過去のファクター考慮後のリターンが高いファンドに相対的に多くの資金を投じていることが明らかになったことに加え、資金フローにはナンピン買いによる影響も含まれていることと整合的な結果が得られた。

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