{"created":"2023-05-15T15:30:30.204939+00:00","id":9931,"links":{},"metadata":{"_buckets":{"deposit":"3ecabb84-ad45-4266-985c-4e83d7747e90"},"_deposit":{"created_by":1,"id":"9931","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9931"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009931","sets":["1159:1162:1165"]},"author_link":["36470","36475","36477","36474","36478","36471","36473","36472","36476"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"ショウヒトチョウキショウケントウシノ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":"2018-03","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-60","bibliographicPageEnd":"16","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":"現代証券投資理論では長期分散投資が推奨されているが，安全証券が短期債である短期投資とは異なり，長期投資における安全証券は長期物価連動債である．従って，消費と証券投資の最適化問題においては，投資対象に長期債を組み入れる必要がある．しかし，同問題では，HJB 方程式（Hamilton-Jacobi-Bellman方程式）に非斉次項が現れ，解析解の導出を困難にする．Campbell and Viceira [3] は，短期債と一定満期の長期物価連動債を投資対象とする相対的危険回避度一定の投資家の消費と投資の最適化問題において，HJB方程式の非斉次項を対数線形近似して近似解析解を導出している．最近になって，楠田[6] は彼等が導出した近似解析解が高次の一般解における低次の候補解に過ぎないことを示した．本稿では，証券投資の対象を短期債，全満期の国債，株式指数等の代表的指数に拡大した，アフィン潜在ファクター証券市場モデルを仮定して，HJB 方程式の近似解析解候補を導出し，近似最適投資が状態変数に依存することを示す．近似解析解候補は一般に複数存在することから，これら複数の解候補から最適解を識別するための条件を提示する．","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-60, pp. 1-16","subitem_description_type":"Other"}]},"item_7_full_name_2":{"attribute_name":"著者(ヨミ)","attribute_value_mlt":[{"nameIdentifiers":[{}],"names":[{"name":"バトボルド, ボロルソフタ"}]},{"nameIdentifiers":[{}],"names":[{"name":"キクチ, ケンタロウ"}]},{"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":"Batbold, Bolorsuvd"}]},{"nameIdentifiers":[{}],"names":[{"name":"Kikuchi, Kentaro"}]},{"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":"バトボルド, ボロルソフタ"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"菊池, 健太郎"}],"nameIdentifiers":[{}]},{"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":"DPJ60_p1-16 ﾎﾞﾄﾎﾞﾙﾄﾞ・菊地・楠田.pdf","filesize":[{"value":"473.6 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ60_p1-16 ﾎﾞﾄﾎﾞﾙﾄﾞ・菊地・楠田.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9931/files/DPJ60_p1-16 ﾎﾞﾄﾎﾞﾙﾄﾞ・菊地・楠田.pdf"},"version_id":"644ddba3-5bb4-48c4-a88a-1385fbadc338"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"確率的最適化","subitem_subject_scheme":"Other"},{"subitem_subject":"近似解析解","subitem_subject_scheme":"Other"},{"subitem_subject":"金融","subitem_subject_scheme":"Other"},{"subitem_subject":"最適制御","subitem_subject_scheme":"Other"},{"subitem_subject":"十分条件","subitem_subject_scheme":"Other"},{"subitem_subject":"動的計画","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":"消費と長期証券投資の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":"消費と長期証券投資の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":"2018-03-12"},"publish_date":"2018-03-12","publish_status":"0","recid":"9931","relation_version_is_last":true,"title":["消費と長期証券投資の最適化問題に対する近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:18:47.706958+00:00"}