{"created":"2023-05-15T15:33:21.485781+00:00","id":13836,"links":{},"metadata":{"_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":["1156:1808:1811"]},"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","filename":"DPE6.2021jan.pdf","filesize":[{"value":"393.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","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"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2021-01-12"},"publish_date":"2021-01-12","publish_status":"0","recid":"13836","relation_version_is_last":true,"title":["Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model"],"weko_creator_id":"10","weko_shared_id":-1},"updated":"2023-07-21T07:42:45.466927+00:00"}