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A Semi-analytical Solution to Consumption and International Asset Allocat ion Problem
http://hdl.handle.net/10441/00016016
http://hdl.handle.net/10441/0001601610ae8d70-4631-49d6-acae-7cd2cc666da2
名前 / ファイル | ライセンス | アクション |
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DPB17Kusuda (290.1 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2019-10-29 | |||||
タイトル | ||||||
タイトル | A Semi-analytical Solution to Consumption and International Asset Allocat ion Problem | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | A Semi-analytical Solution to Consumption and International Asset Allocat ion Problem | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
楠田, 浩二
× 楠田, 浩二× バトボルト, ボロルソフタ× 菊池, 健太郎 |
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著者(ヨミ) | ||||||
姓名 | クスダ, コウジ | |||||
著者(ヨミ) | ||||||
姓名 | バトボルト, ボロルソフタ | |||||
著者(ヨミ) | ||||||
姓名 | キクチ, ケンタロウ | |||||
著者別名 | ||||||
姓名 | Kusuda, koji | |||||
著者別名 | ||||||
姓名 | Batbold, Bolorsuvd | |||||
著者別名 | ||||||
姓名 | Kikuchi, Kentaro | |||||
著者所属 | ||||||
滋賀大学 経済学部 | ||||||
著者所属 | ||||||
滋賀大学 経済学部 | ||||||
著者所属 | ||||||
滋賀大学 経済学部 | ||||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We consider a finite continuous-time optimal consumption and in-ternational asset allocation problem for an agent with CRRA utility, assuming a quadratic factor international security market model in which, latent factors are constituted of global economy factors and currency specific factors. It is not generally straightforward to find an analytical solution to the partial differential equation (PDE, hereafter) for the agent’s indirect utility function, since a non-homogeneous term appears in the PDE. We apply a method of Liu [11] and Batbold et al. [4] to the PDE, and derive a semi-analytical solution. In the optimal investment ratio based on the solution, the market price of currency specific risk, the disparities between domestic and foreign market prices of global economy risk, and the disparities between domestic and for-eign market prices of currency specific risk appear. | |||||
引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | CRR Discussion Paper, Series B, No. B-17, pp.1-25 | |||||
書誌情報 |
CRR Discussion Paper, Series B en : CRR Discussion Paper, Series B 号 No. B-17, p. 25, 発行日 2019-10 |
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出版者 | ||||||
出版者 | Center for Risk Research(CRR), Shiga University |