{"created":"2023-05-15T15:30:30.248952+00:00","id":9932,"links":{},"metadata":{"_buckets":{"deposit":"42228b55-7b8a-4a56-8b1d-6f9380ea41c7"},"_deposit":{"created_by":1,"id":"9932","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9932"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009932","sets":["1159:1162:1165"]},"author_link":["36482","36484","36480","36485","36481","36479","36487","36483","36486"],"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ウシカノ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トウ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-61","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":"和文概要\n 世界金融危機以降，想定する確率過程自体を特定出来ない「ナイトの不確実性」を考慮した投資の頑健最適化に対する認識が高まっている．他方，長期証券投資の最適化問題においては，金利変動リスクを考慮し，投資対象に長期投資における安全証券である長期債を組み入れる必要があるが，同問題では，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 は同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，楠田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，バトボルド・菊池・楠田は証券投資の対象を全満期の国債，株式指数等に拡大したアフィン潜在ファクター証券市場モデルに一般化して，高次の近似解析解を導出している．本稿では，バトボルド他の一般性の高い証券市場モデルに，ナイトの不確実性を導入し，「相似拡大的頑健効用」（Maenhout）を持つ投資家の最適化問題に対する近似解析解を導出する．「危険証券」への近似最適投資比率は相対的危険回避度のみならず「相対的曖昧性回避度」にも依存することが示される","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-61, 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":"DPJ61_p.1-16 ﾎﾞﾄﾎﾞﾙﾄ・菊地・楠田.pdf","filesize":[{"value":"501.0 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ61_p.1-16 ﾎﾞﾄﾎﾞﾙﾄ・菊地・楠田.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9932/files/DPJ61_p.1-16 ﾎﾞﾄﾎﾞﾙﾄ・菊地・楠田.pdf"},"version_id":"fc0c1ad9-b8cb-4934-9091-1688860848fc"}]},"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":"最適制御","subitem_subject_scheme":"Other"},{"subitem_subject":"動的計画","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":"相似拡大的頑健効用投資家の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":"相似拡大的頑健効用投資家の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":"2018-03-26"},"publish_date":"2018-03-26","publish_status":"0","recid":"9932","relation_version_is_last":true,"title":["相似拡大的頑健効用投資家の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":"2023-05-15T19:18:46.930950+00:00"}