{"_buckets": {"deposit": "959dd2fb-dd54-42d9-9a33-841ca3b5135a"}, "_deposit": {"created_by": 10, "id": "13836", "owners": [10], "pid": {"revision_id": 0, "type": "depid", "value": "13836"}, "status": "published"}, "_oai": {"id": "oai:shiga-u.repo.nii.ac.jp:00013836", "sets": ["1811"]}, "author_link": [], "item_7_biblio_info_8": {"attribute_name": "書誌情報", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2021-01", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "No.E-6", "bibliographicPageEnd": "25", "bibliographicPageStart": "1", "bibliographic_titles": [{"bibliographic_title": "Discussion Paper, Series E", "bibliographic_titleLang": "en"}]}]}, "item_7_description_43": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"subitem_description": "Technical Report", "subitem_description_type": "Other"}]}, "item_7_description_5": {"attribute_name": "抄録", "attribute_value_mlt": [{"subitem_description": "The global financial crisis leads to a growing awareness of theneed for robust dynamic investment control. This study considersa consumption–investment problem for an investor with homotheticrobust utility under a quadratic security market model, in which allinflation rates, interest rates, and asset risk premiums and volatilitiesare stochastic and predictable. Homothetic robust utility is character-ized by investors’ relative risk aversion and “relative ambiguity aver-sion.” We show that the optimal portfolio is decomposed into the sumof myopic demand, intertemporal risk hedging demand, inflation riskdemand, and “intertemporal ambiguity hedging demand.” We obtaina loglinear approximate analytical solution to a nonlinear partial dif-ferential equation for the indirect utility function. The coefficients forthis solution are provided as a system of nonlinear algebraic equations.We also present an algorithm to solve this system numerically.", "subitem_description_language": "en", "subitem_description_type": "Abstract"}]}, "item_7_description_7": {"attribute_name": "引用", "attribute_value_mlt": [{"subitem_description": "Discussion Paper, Series E,( No. E-6), pp. 1-25", "subitem_description_language": "en", "subitem_description_type": "Other"}]}, "item_7_full_name_2": {"attribute_name": "著者(ヨミ)", "attribute_value_mlt": [{"names": [{"name": "バトボルド, ボロルソフタ", "nameLang": "ja-Kana"}]}, {"names": [{"name": "キクチ, ケンタロウ", "nameLang": "ja-Kana"}]}, {"names": [{"name": "クスダ, コウジ", "nameLang": "ja-Kana"}]}]}, "item_7_full_name_3": {"attribute_name": "著者別名", "attribute_value_mlt": [{"names": [{"name": "菊池, 健太郎", "nameLang": "ja"}]}, {"names": [{"name": "楠田, 浩二", "nameLang": "ja"}]}]}, "item_7_publisher_35": {"attribute_name": "出版者", "attribute_value_mlt": [{"subitem_publisher": "The Institute for Economic and Business Research Faculty of Economics,Shiga University", "subitem_publisher_language": "en"}]}, "item_7_text_4": {"attribute_name": "著者所属", "attribute_value_mlt": [{"subitem_text_language": "ja", "subitem_text_value": "滋賀大学経済学部"}, {"subitem_text_language": "ja", "subitem_text_value": "滋賀大学経済学部"}, {"subitem_text_language": "ja", "subitem_text_value": "滋賀大学経済学部"}]}, "item_creator": {"attribute_name": "著者", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Batbold, Bolorsuvd", "creatorNameLang": "en"}]}, {"creatorNames": [{"creatorName": "Kikuchi, Kentaro ", "creatorNameLang": "en"}]}, {"creatorNames": [{"creatorName": "Kusuda, Koji", "creatorNameLang": "en"}]}]}, "item_files": {"attribute_name": "ファイル情報", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2021-01-12"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "DPE6.2021jan.pdf", "filesize": [{"value": "393.1 kB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_note", "mimetype": "application/pdf", "size": 393100.0, "url": {"label": "DPE6.2021jan.pdf", "objectType": "fulltext", "url": "https://shiga-u.repo.nii.ac.jp/record/13836/files/DPE6.2021jan.pdf"}, "version_id": "0c3d2435-b84b-4f7d-a47f-249ff209fd8e"}]}, "item_language": {"attribute_name": "言語", "attribute_value_mlt": [{"subitem_language": "eng"}]}, "item_resource_type": {"attribute_name": "資源タイプ", "attribute_value_mlt": [{"resourcetype": "technical report", "resourceuri": "http://purl.org/coar/resource_type/c_18gh"}]}, "item_title": "Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model", "item_titles": {"attribute_name": "タイトル", "attribute_value_mlt": [{"subitem_title": "Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model", "subitem_title_language": "en"}]}, "item_type_id": "7", "owner": "10", "path": ["1811"], "permalink_uri": "http://hdl.handle.net/10441/00016321", "pubdate": {"attribute_name": "PubDate", "attribute_value": "2021-01-12"}, "publish_date": "2021-01-12", "publish_status": "0", "recid": "13836", "relation": {}, "relation_version_is_last": true, "title": ["Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model"], "weko_shared_id": -1}
Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model
http://hdl.handle.net/10441/00016321
http://hdl.handle.net/10441/00016321