{"created":"2023-05-15T15:30:29.135253+00:00","id":9906,"links":{},"metadata":{"_buckets":{"deposit":"39d0d17f-8dff-4ab1-8df1-8f863a6f06ee"},"_deposit":{"created_by":1,"id":"9906","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9906"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009906","sets":["1159:1162:1165"]},"author_link":["36362","36361","36363"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"ショウヒ ト サイケントウシ ノ タキカン サイテキカ モンダイ ニ オケル コウジ ノ 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":"2013-03","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-35","bibliographicPageEnd":"9","bibliographicPageStart":"1","bibliographic_titles":[{"bibliographic_title":"CRR Discussion Paper"}]}]},"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":"Campbell and Viceira (2002) は相対的危険回避度一定の期待効用関数と金利のバシチェック・モデルを仮定し、消費と債券投資の多期間最適化問題における近似解析解を確率制御により導出した。しかし、同解における長期債の投資比率は金利低下局面では短期債から長期債へ、金利上昇局面では長期債から短期債へ移行する現実の投資行動を説明出来ない。本稿では、彼等が導出した近似常微分方程式において、彼等が示した解以外に高次の解が存在することを示す。高次の解における長期債の投資比率は上記投資行動を説明している。但し、何れの解が真の解の近似解であるかはモデルのパラメータに依存するため、実証分析の結果を待つ必要がある。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-35, pp. 1-9","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"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":"Kusuda, Koji"}]}]},"item_7_publisher_35":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Center for Risk Research (CRR), Shiga University"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"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":"2018-09-14"}],"displaytype":"detail","filename":"DPJ35Kusuda201303.pdf","filesize":[{"value":"365.8 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ35Kusuda201303.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9906/files/DPJ35Kusuda201303.pdf"},"version_id":"df5d3255-c925-4bf7-8c2c-3716ee2170f4"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率制御","subitem_subject_scheme":"Other"},{"subitem_subject":"近似解析解","subitem_subject_scheme":"Other"},{"subitem_subject":"金利リスク","subitem_subject_scheme":"Other"},{"subitem_subject":"債券投資","subitem_subject_scheme":"Other"},{"subitem_subject":"多期間最適ポートフォリオ","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":"消費と債券投資の多期間最適化問題における高次の近似解析解","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"消費と債券投資の多期間最適化問題における高次の近似解析解"}]},"item_type_id":"7","owner":"1","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-02"},"publish_date":"2013-05-02","publish_status":"0","recid":"9906","relation_version_is_last":true,"title":["消費と債券投資の多期間最適化問題における高次の近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:49.370846+00:00"}