{"created":"2023-05-15T15:32:50.194371+00:00","id":13087,"links":{},"metadata":{"_buckets":{"deposit":"78cc8222-4857-4bd2-b2b7-45855fc113b4"},"_deposit":{"created_by":10,"id":"13087","owners":[10],"pid":{"revision_id":0,"type":"depid","value":"13087"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00013087","sets":["1159:1162:1165"]},"author_link":["46755","46751","46754","46759","46757","46756","46752","46758","46753"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"CRRA コウヨウ ショウヒシャ ノ チョウキ ショウケン トウシ ノ ユウコウ キゲン サイテキカ モンダイ ニ タイスル カイセキカイ"}]},"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2018-09","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-66","bibliographicPageEnd":"[13]","bibliographicPageStart":"[1]","bibliographic_titles":[{"bibliographic_title":"CRR Discussion Paper, Series J"}]}]},"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":" Liu [7] は、潜在ファクターが自身の2 次関数であるドリフト項及び拡散項を持つ拡散過程に従い、短期金利、リスクの市場価格の平方等が潜在ファクターの2 次関数で記述される証券市場モデルを仮定し、消費と投資（短期債と複数の危険証券）の問題を考察している。彼は同問題の最適化の結果導出される非斉次偏微分方程式に対し、非斉次項を捨象した斉次偏微分方程式の解析解に基づいて解析解を構成している。本稿では、潜在ファクターが多次元版Ornstein-Uhlenbeck過程、短期金利、リスクの市場価格等が潜在ファクターのアフィン関数にそれぞれ従う証券市場モデルを仮定し、消費と投資（短期債、全満期債券、主要指数）の問題に対してLiu [7] の解析解構成法により解析解を導出する。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No-66, pp. [1-13]","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"バトボルド, ボロルソフタ"}]},{"nameIdentifiers":[{}],"names":[{"name":"キクチ, ケンタロウ"}]},{"nameIdentifiers":[{}],"names":[{"name":"クスダ, コウジ "}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"Batbold, Bolorsuvd "}]},{"nameIdentifiers":[{}],"names":[{"name":"Kikuchi, Kentaro"}]},{"nameIdentifiers":[{}],"names":[{"name":"Kusuda, Koji"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"滋賀大学経済学部リスク研究センター"}]},"item_7_text_36":{"attribute_name":"出版者（ヨミ）","attribute_value_mlt":[{"subitem_text_value":"シガ ダイガク ケイザイ ガクブ リスク ケンキュウ センター"}]},"item_7_text_37":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for Risk Research (CRR), Shiga University "}]},"item_7_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"滋賀大学大学院博士後期課程"},{"subitem_text_value":"滋賀大学経済学部"},{"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":"バトボルド, ボロルソフタ"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"菊池, 健太郎"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"楠田, 浩二"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-10-17"}],"displaytype":"detail","filename":"DPJ66_p.1-13ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf","filesize":[{"value":"429.6 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ66_p.1-13ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/13087/files/DPJ66_p.1-13ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf"},"version_id":"204c629b-3f2f-4649-bb0b-f3a9a525ffa1"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"解析解","subitem_subject_scheme":"Other"},{"subitem_subject":"確率制御","subitem_subject_scheme":"Other"},{"subitem_subject":"債券投資","subitem_subject_scheme":"Other"},{"subitem_subject":"消費と投資の問題","subitem_subject_scheme":"Other"},{"subitem_subject":"長期証券投資","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"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":"CRRA 効用消費者の長期証券投資の有限期間最適化問題に対する解析解","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"CRRA 効用消費者の長期証券投資の有限期間最適化問題に対する解析解"}]},"item_type_id":"7","owner":"10","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2018-10-17"},"publish_date":"2018-10-17","publish_status":"0","recid":"13087","relation_version_is_last":true,"title":["CRRA 効用消費者の長期証券投資の有限期間最適化問題に対する解析解"],"weko_creator_id":"10","weko_shared_id":-1},"updated":"2023-05-15T17:19:03.207685+00:00"}