{"created":"2023-05-15T15:33:47.611402+00:00","id":14436,"links":{},"metadata":{"_buckets":{"deposit":"7b35f8b1-ad31-4532-b1f0-f8993e44e407"},"_deposit":{"created_by":10,"id":"14436","owners":[10],"pid":{"revision_id":0,"type":"depid","value":"14436"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00014436","sets":["1156:1808:1811"]},"author_link":[],"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2023-02","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. E-21","bibliographicPageEnd":"31","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":"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.","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-21, pp. 1-31","subitem_description_language":"en","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"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"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Kikuchi, Kentaro","creatorNameLang":"en"}]},{"creatorNames":[{"creatorName":"Kusuda, Kouji","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":"2023-03-03"}],"displaytype":"detail","filename":"DPE21KikuchiKusuda.pdf","filesize":[{"value":"525.1 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPE21KikuchiKusuda.pdf","objectType":"fulltext","url":"https://shiga-u.repo.nii.ac.jp/record/14436/files/DPE21KikuchiKusuda.pdf"},"version_id":"e228f89f-f0f3-4a78-a3ec-289738db45a7"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Linear Approximation","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Consumption-investment problem","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Homothetic robust utility","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Market timing effect","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Inflation–deflation risk","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Stochastic volatility","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"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":"A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand","subitem_title_language":"en"}]},"item_type_id":"7","owner":"10","path":["1811"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2023-03-03"},"publish_date":"2023-03-03","publish_status":"0","recid":"14436","relation_version_is_last":true,"title":["A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand"],"weko_creator_id":"10","weko_shared_id":-1},"updated":"2023-07-21T07:43:37.143008+00:00"}