{"created":"2023-05-15T15:30:29.347126+00:00","id":9911,"links":{},"metadata":{"_buckets":{"deposit":"8ab2309f-d1bf-47c1-abb7-3c4f6f965493"},"_deposit":{"created_by":1,"id":"9911","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9911"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009911","sets":["1159:1162:1165"]},"author_link":["36380","36381","36379"],"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 カブシキ 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 2シュルイ 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":"2013-06","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-40","bibliographicPageEnd":"26","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の消費と証券投資の多期間最適化問題として、楠田(2013c) は安全証券と全満期の債券を投資対象に「相似拡大的頑健効用」（Maenhout(2004)）と金利の2ファクター・モデルを仮定し、2債券群の最適投資比率の近似解析解を導出している。本稿では、短期債券群を安全証券と看做すことにより、安全証券の代わりに株式指数を組み入れ、相似拡大的頑健効用最大化のための株式指数と全債券の最適ポートフォリオ問題の近似解析解導出を試みる。リスクの市場価格が短期金利と平均短期金利のアフィン関数である「本質的アフィン・モデル」の下では数値解法負担が高い近似解析解が導出され、リスクの市場価格が一定の「完備アフィン・モデル」と金利モデルの係数間の制約下で数値解法負担が非常に低い近似解析解が導出される。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-40, pp. 1-26","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":"DPJ40Kusuda201306L.pdf","filesize":[{"value":"328.3 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ40Kusuda201306L.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9911/files/DPJ40Kusuda201306L.pdf"},"version_id":"69e484e3-8b66-40fa-9a00-280cce7e5d9c"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率制御","subitem_subject_scheme":"Other"},{"subitem_subject":"株式投資","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株式・債券投資の多期間最適化問題における2種類の近似解析解","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株式・債券投資の多期間最適化問題における2種類の近似解析解"}]},"item_type_id":"7","owner":"1","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-07"},"publish_date":"2013-06-07","publish_status":"0","recid":"9911","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株式・債券投資の多期間最適化問題における2種類の近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:42.800528+00:00"}