{"created":"2023-05-15T15:30:29.261877+00:00","id":9909,"links":{},"metadata":{"_buckets":{"deposit":"1ba382e8-f841-472a-8b8b-be6ec46bd54d"},"_deposit":{"created_by":1,"id":"9909","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9909"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009909","sets":["1159:1162:1165"]},"author_link":["36374","36373","36375"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"ガンケンコウヨウ ニ モトヅク ショウヒ ト サイケントウシ ノ タキカン サイテキ カ"}]},"item_7_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-04","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-38","bibliographicPageEnd":"14","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":"消費と債券投資の多最適化問題において、Campbell and Viceira(2002) は相対的危険回避度一定の期待効用と金利のバシチェック・モデルを仮定し低次の近似解析解を導出し、楠田(2013) は同問題に対し高次の近似解析解を導出している。本稿では、同問題にナイトの不確実性を導入し、「相似変換型頑健効用」（Maenhout (2004)）を仮定して、低次と高次の近似解析解を導出する。高次の解における長期債への投資比率において、ナイトの不確実性が存在しない場合の相対的危険回避度の項が相対的危険回避度と「相対的曖昧性回避度」の和に置き換わることが示される。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-38, pp. 1-14","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":"DPJ38Kusuda201304L.pdf","filesize":[{"value":"248.7 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ38Kusuda201304L.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9909/files/DPJ38Kusuda201304L.pdf"},"version_id":"4461ddff-b2e1-4984-acf6-7e9ea5cbcfc2"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率制御","subitem_subject_scheme":"Other"},{"subitem_subject":"頑健効用","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"},{"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 report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"頑健効用に基づく消費と債券投資の多期間最適化","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"頑健効用に基づく消費と債券投資の多期間最適化"}]},"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":"9909","relation_version_is_last":true,"title":["頑健効用に基づく消費と債券投資の多期間最適化"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:45.936926+00:00"}