| Item type |
テクニカルレポート / Technical Report(1) |
| 公開日 |
2020-11-10 |
| タイトル |
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|
タイトル |
Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk |
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言語 |
en |
| 言語 |
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|
言語 |
eng |
| 資源タイプ |
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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 |
Batbold, Bolorsuvd
Kikuchi, Kentaro
Kusuda, Koji
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| 著者(ヨミ) |
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姓名 |
バトボルド, ボロルソフタ |
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言語 |
ja-Kana |
| 著者(ヨミ) |
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姓名 |
キクチ, ケンタロウ |
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言語 |
ja-Kana |
| 著者(ヨミ) |
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姓名 |
クスダ, コウジ |
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言語 |
ja-Kana |
| 著者別名 |
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姓名 |
菊池, 健太郎 |
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言語 |
ja |
| 著者別名 |
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姓名 |
楠田, 浩二 |
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言語 |
ja |
| 著者所属 |
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|
ja |
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滋賀大学経済学部 |
| 著者所属 |
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ja |
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滋賀大学経済学部 |
| 著者所属 |
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ja |
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滋賀大学経済学部 |
| 抄録 |
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内容記述タイプ |
Abstract |
|
内容記述 |
There exists strong empirical evidence that all inflation rates, in-terest rates, market price of risk, and return volatilities of assets arestochastic and predictable, which is now a stylized fact. However,to the best of our knowledge, existing models providing solutions toconsumption–investment problems do not consider all of the afore-mentioned stochastic processes, leading to substantially different re-sults depending on the model structure. We consider a consumption–investment problem for a long-term investor with constant relative riskaversion utility, under a quadratic security market model, in whichall of the above-mentioned processes are stochastic and predictable.We solve a nonhomogeneous linear partial differential equation for theindirect utility function, and derive a semianalytical solution. Thisstudy obtains the optimal portfolio decomposed into the sum of my-opic demand, intertemporal hedging demand, and “inflation hedgingdemand,” and presents that all three types of demand are nonlinearfunctions of the state vector. The results highlight that the timingaspect is more important than our assumption. |
|
言語 |
en |
| 引用 |
|
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内容記述タイプ |
Other |
|
内容記述 |
Discussion Paper, Series E,( No. E-5), pp. 1-25 |
|
言語 |
en |
| 書誌情報 |
en : Discussion Paper, Series E
号 No. E-5,
p. 1-25,
発行日 2020-11
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| 出版者 |
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|
出版者 |
The Institute for Economic and Business Research Faculty of Economics,Shiga University |
|
言語 |
en |
| 資源タイプ |
|
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内容記述タイプ |
Other |
|
内容記述 |
Technical Report |
DPE5.2020nov.pdf (554.2 kB)
