{"created":"2023-05-15T15:30:30.291960+00:00","id":9933,"links":{},"metadata":{"_buckets":{"deposit":"1a4bd212-a1b4-47ea-ae93-30571659ab32"},"_deposit":{"created_by":1,"id":"9933","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9933"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009933","sets":["1159:1162:1165"]},"author_link":["36494","36490","36493","36496","36489","36491","36488","36492","36495"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"セイメイ ホケン ガイシャ ニ オケル アセット アロケーション ノ ガンケン 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":"2018-03","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-62","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":"世界金融危機以降，金融機関では，確率過程自体を特定出来ない「ナイトの不確実性」下での投資の頑健化に対する認識が高まっている．楠田・菊池[8] は，ナイトの不確実性下，「相似拡大的頑健効用」（Maenhout [10]）を持つ投資家の株式指数と全満期の国債を投資対象とする消費と長期証券投資の最適化問題において，アフィン2 ファクター証券市場モデルを仮定し，HJB(Hamilton-Jacobi-Bellman) 方程式に現れる非斉次項をCampbell and Viceira [3]，楠田[6] の対数線形近似法で近似して解析解を導出している．楠田[7]は，生命保険会社の生保販売を証券の空売り投資と見做し，生保債務をポートフォリオに組み込む新たなアプ\nローチにより，生保頑健運用問題を楠田・菊池[8] の問題枠組みの中に位置付け，近似解析解を与えている．しかし，同モデルの実証分析結果（久保・楠田[5]）はアフィン2 ファクター証券市場モデルが株式指数と全満期の国債の価格過程を近似し得ないことを明らかにしている．本稿では，証券市場モデルを一般次元のアフィ\nン潜在ファクター証券市場モデルに一般化し，投資対象を非債券の主要指数全般と全満期の国債に拡大した，消費と長期証券投資の頑健最適化問題に近似解析解を与えているバトボルド・菊池・楠田[2] を応用して，生保の頑健運用問題に対する近似解析解を導出する．","subitem_description_type":"Abstract"}]},"item_7_description_7":{"attribute_name":"引用","attribute_value_mlt":[{"subitem_description":"CRR Discussion Paper, Series J, No. J-62, 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_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":"DPJ62_p.1-16ﾎﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf","filesize":[{"value":"507.9 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ62_p.1-16ﾎﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9933/files/DPJ62_p.1-16ﾎﾞﾄﾎﾞﾙﾄﾞ・菊池・楠田.pdf"},"version_id":"11c8a396-bdfa-4719-ba3f-89a2f6aa3fe5"}]},"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":"生命保険","subitem_subject_scheme":"Other"},{"subitem_subject":"潜在ファクター","subitem_subject_scheme":"Other"},{"subitem_subject":"\"ナイトの不確実性","subitem_subject_scheme":"Other"}]},"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":"生命保険会社におけるアセット・アロケーションの頑健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":"生命保険会社におけるアセット・アロケーションの頑健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":"2018-04-13"},"publish_date":"2018-04-13","publish_status":"0","recid":"9933","relation_version_is_last":true,"title":["生命保険会社におけるアセット・アロケーションの頑健最適化問題に対する近似解析解"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T19:18:45.089136+00:00"}