{"created":"2023-05-15T15:30:29.779136+00:00","id":9921,"links":{},"metadata":{"_buckets":{"deposit":"387b2897-91ea-495e-b0e7-fbc781a75830"},"_deposit":{"created_by":1,"id":"9921","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9921"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009921","sets":["1159:1162:1165"]},"author_link":["36413","36415","36414","36418","36416","36417"],"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・ハル・ホワイトガタ ホンシツテキ アフィン ショウケン シジョウ モデル ニ モドヅク ショウヒ ト カブシキ シスウ ゼンマンキ コクサイ トウシ ノ タキカン サイテキカ モンダイ ニ タイスル 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":"2014-12","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-50","bibliographicPageEnd":"17","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":"世界金融危機を契機に「ナイトの不確実性」を考慮した投資の頑健最適化の必要性が認識され始めてい\nる。一方、長期投資を行っている多くの投資家、特に金融機関は短期から中長期或いは超長期までの債券を\n中心とする運用を行っている。楠田（2013）は、ナイトの不確実性下で「相似拡大的頑健効用」（Maenhout\n(2004)）を所持する投資家が株式指数と全満期の国債に投資する、消費と証券投資の多期間最適化問題にお\nいて、短期金利と平均短期金利を状態変数とする2 ファクター完備アフィン・モデルを仮定し近似解析解を\n導出している。本稿では、同モデルにおいて一定と仮定されているリスクの市場価格を状態変数のアフィン\n関数に一般化した本質的アフィン・モデルの下で、必要条件であるHJB 方程式の近似解析解を導出する。\n同解は一般に複数存在することから、最適解である為の十分条件を導出する。","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-50, pp. 1-17","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"}]},{"nameIdentifiers":[{}],"names":[{"name":"キクチ, ケンタロウ"}]}]},"item_7_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"Kusuda, Koji"}]},{"nameIdentifiers":[{}],"names":[{"name":"Kikuchi, Kentaro"}]}]},"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":[{}]},{"creatorNames":[{"creatorName":"菊池, 健太郎"}],"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":"DPJ50_p.1-17 楠田・菊池.pdf","filesize":[{"value":"587.4 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ50_p.1-17 楠田・菊池.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9921/files/DPJ50_p.1-17 楠田・菊池.pdf"},"version_id":"5948a308-4a3e-4ecb-a081-d97baf224258"}]},"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":"十分条件","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・ハル・ホワイト型本質的アフィン証券市場モデルに基づく消費と株式指数・全満期国債投資の多期間最適化問題に対する近似解析解","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・ハル・ホワイト型本質的アフィン証券市場モデルに基づく消費と株式指数・全満期国債投資の多期間最適化問題に対する近似解析解"}]},"item_type_id":"7","owner":"1","path":["1165"],"pubdate":{"attribute_name":"公開日","attribute_value":"2014-12-17"},"publish_date":"2014-12-17","publish_status":"0","recid":"9921","relation_version_is_last":true,"title":["相似拡大的頑健効用と2ファクター・ハル・ホワイト型本質的アフィン証券市場モデルに基づく消費と株式指数・全満期国債投資の多期間最適化問題に対する近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:19:17.841206+00:00"}