{"created":"2023-05-15T15:30:29.304785+00:00","id":9910,"links":{},"metadata":{"_buckets":{"deposit":"590fae7f-a67d-45ae-b76b-b5f93f843060"},"_deposit":{"created_by":1,"id":"9910","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9910"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009910","sets":["1159:1162:1165"]},"author_link":["36376","36377","36378"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"ソウジ カクダイテキ ガンケンコウヨウ ト 2ファクター キンリモデル ニ モトヅク ショウヒ ト サイケン ポートフォリオ ノ タキカン サイテキカ モンダイ 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":"2013-05","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-39","bibliographicPageEnd":"21","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":"ナイトの不確実性下における消費と債券投資（1債券）の多期間最\n適化問題において、楠田(2013b) は「相似拡大的頑健効用」（Maenhout(2004)）と金利の1ファクター・バシチェック・モデルを仮定し近似解析解を導出している。本稿では、投資対象を全満期の債券に、バシチェック・モデルを2ファクター・ハル・ホワイト・モデルにそれぞれ拡張した上で相似拡大的頑健効用下の最適ポートフォリオの近似解析解を導出する。近似最適投資比率は、この種の複雑なポートフォリオ最適化問題の近似解析解の多くが数値解法による陰伏的表現でしか与えられていないのに対し、状態変数である短期金利と平均短期金利の明示的関数として示される。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-39, pp. 1-21","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":"DPJ39Kusuda201305L.pdf","filesize":[{"value":"299.6 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ39Kusuda201305L.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9910/files/DPJ39Kusuda201305L.pdf"},"version_id":"ccb86068-4a8f-44c7-83a9-e4dc14f7bc07"}]},"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":"相似拡大的頑健効用","subitem_subject_scheme":"Other"},{"subitem_subject":"2ファクター・モデル","subitem_subject_scheme":"Other"},{"subitem_subject":"ナイトの不確実性","subitem_subject_scheme":"Other"},{"subitem_subject":"ポートフォリオ最適化","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":"相似拡大的頑健効用と2ファクター金利モデルに基づく消費と債券ポートフォリオの多期間最適化問題の近似解析解","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"相似拡大的頑健効用と2ファクター金利モデルに基づく消費と債券ポートフォリオの多期間最適化問題の近似解析解"}]},"item_type_id":"7","owner":"1","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-29"},"publish_date":"2013-05-29","publish_status":"0","recid":"9910","relation_version_is_last":true,"title":["相似拡大的頑健効用と2ファクター金利モデルに基づく消費と債券ポートフォリオの多期間最適化問題の近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:43.616213+00:00"}