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A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand
http://hdl.handle.net/10441/00016919
http://hdl.handle.net/10441/00016919a13b3ff1-c713-4254-9401-31cefa84cde6
名前 / ファイル | ライセンス | アクション |
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DPE21KikuchiKusuda.pdf (525.1 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 | 2023-03-03 | |||||||||
タイトル | ||||||||||
言語 | en | |||||||||
タイトル | A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand | |||||||||
言語 | ||||||||||
言語 | eng | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Linear Approximation | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Consumption-investment problem | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Homothetic robust utility | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Market timing effect | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Inflation–deflation risk | |||||||||
キーワード | ||||||||||
言語 | en | |||||||||
主題Scheme | Other | |||||||||
主題 | Stochastic volatility | |||||||||
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 |
Kikuchi, Kentaro
× Kikuchi, Kentaro
× Kusuda, Kouji
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著者(ヨミ) | ||||||||||
姓名 | キクチ, ケンタロウ | |||||||||
言語 | ja-Kana | |||||||||
著者(ヨミ) | ||||||||||
姓名 | クスダ, コウジ | |||||||||
言語 | ja-Kana | |||||||||
著者別名 | ||||||||||
姓名 | 菊池, 健太郎 | |||||||||
言語 | ja | |||||||||
著者別名 | ||||||||||
姓名 | 楠田, 浩二 | |||||||||
言語 | ja | |||||||||
著者所属 | ||||||||||
ja | ||||||||||
滋賀大学経済学部 | ||||||||||
抄録 | ||||||||||
内容記述タイプ | Abstract | |||||||||
内容記述 | This study considers a finite-time consumption-investment problem for investors with homothetic robust utility under the quadratic security market model with stochastic volatilities and inflation rates. This leads to a nonlinear nonhomogeneous partial differential equation for indirect utility. We propose a linear approximation method and derive the approximate optimal robust portfolio decomposed into myopic, intertemporal hedging, and inflation-deflation hedging demands. We also propose a method to estimate our quadratic security market model that achieves stability of optimal portfolio estimates. We then apply our estimation method to the two-factor quadratic security market model. Our numerical analysis shows that the market timing effects in the optimal robust allocation are significant and nonlinear and are mainly owing to inflation-deflation hedging demand. | |||||||||
言語 | en | |||||||||
引用 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | Discussion Paper, Series E, No. E-21, pp. 1-31 | |||||||||
言語 | en | |||||||||
書誌情報 |
en : Discussion Paper, Series E 号 No. E-21, p. 1-31, 発行日 2023-02 |
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出版者 | ||||||||||
言語 | en | |||||||||
出版者 | The Institute for Economic and Business Research Faculty of Economics, Shiga University | |||||||||
資源タイプ | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | Technical Report |