{"created":"2023-05-15T15:32:50.279872+00:00","id":13089,"links":{},"metadata":{"_buckets":{"deposit":"1888d783-c505-4dfa-8cb4-71febe67b506"},"_deposit":{"created_by":10,"id":"13089","owners":[10],"pid":{"revision_id":0,"type":"depid","value":"13089"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00013089","sets":["1159:1162:1165"]},"author_link":["46764","46766","46770","46763","46765","46771","46769","46768","46767"],"item_7_alternative_title_21":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"ソウジ カクダイテキ ガンケン コウヨウ ショウヒシャ ノ チョウキ ショウケン トウシ ノ サイテキカ モンダイ ニ タイスル キンジ 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-68","bibliographicPageEnd":"20","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":"世界金融危機以降、想定する確率過程自体を特定出来ない「ナイトの不確実性」を考慮した投資の頑健最適化に対する認識が高まっている。バトボルド・菊池・楠田[3] は、一般性の高いアフィン潜在ファクター証券市場モデルの下、「相似拡大的頑健効用」（Maenhout [11]）を有する消費者が全満期の国債、非債券主要指数に投資する頑健最適化問題に対し、Hamilton-Jacobi-Bellman 方程式に現れる非斉次項に対数線形近似法（Campbell and Viceira [6]、楠田[9]）を適用し、近似解析解を導出している。本稿では、アフィン潜在ファクター国際証券市場モデル（菊池[8]）において非定常ファクターを捨象した国際証券市場モデルを仮定し、相似拡大的頑健効用を有する消費者が国内外の全満期の国債、非債券主要指数に投資する国際証券投資問題に対し、近似解析解を導出した。同近似解析解から導出された近似最適投資比率は、為替レート固有の状態過程の変化の影響を、第1 項の近視眼的需要では為替レート固有のリスクの市場価格の変化を通じて間接的に、第2 項の保険需要項では直接的に受けているほか、最適投資比率の同変化に対する感応度にリスクの市場価格の内外価格差が影響を及ぼしていることが判明した。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No-68, pp. 1-20","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"},{"subitem_text_value":"滋賀大学"}]},"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":"DPJ68_p.1-20ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf","filesize":[{"value":"538.8 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ68_p.1-20ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf ","url":"https://shiga-u.repo.nii.ac.jp/record/13089/files/DPJ68_p.1-20ﾊﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf"},"version_id":"f895e20c-ce92-47d0-b2b1-c769db1249bd"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"頑健制御","subitem_subject_scheme":"Other"},{"subitem_subject":"近似解析解","subitem_subject_scheme":"Other"},{"subitem_subject":"国際投資","subitem_subject_scheme":"Other"},{"subitem_subject":"債券投資","subitem_subject_scheme":"Other"},{"subitem_subject":"ナイトの不確実性","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 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