{"created":"2023-05-15T15:30:30.419759+00:00","id":9936,"links":{},"metadata":{"_buckets":{"deposit":"f930cfc9-c248-45c7-a4c5-6278ec8cc4c4"},"_deposit":{"created_by":1,"id":"9936","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"9936"},"status":"published"},"_oai":{"id":"oai:shiga-u.repo.nii.ac.jp:00009936","sets":["1159:1162:1165"]},"author_link":["36509","36514","36512","36507","36510","36506","36513","36508","36511"],"item_7_alternative_title_20":{"attribute_name":"タイトル（ヨミ）","attribute_value_mlt":[{"subitem_alternative_title":"Epstein-Zin コウヨウ ニ モトヅク 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":"2018-06","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"No. J-65","bibliographicPageEnd":"22","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Campbell and Viceira [6] は、危険回避度と異時点間代替弾力性を分離出来るEpstein-Zin 効用\nを持つ投資家がバシチェック金利モデルに従う短期債と一定満期の長期債に投資する消費と投資の最適化問題\nを考察し、Hamilton-Jacobi-Bellman 方程式に現れる非斉次項を対数線形近似することで近似解析解を導出し\n ている。本稿では、Epstein-Zin 効用を持つ投資家の投資対象を全満期の国債、株式指数等の主要指数に大幅\nに拡大し、これら証券が一般次元のアフィン潜在ファクター証券市場モデルに従うと仮定して、消費と投資の\n最適化問題を考察する。我々は上記非斉次項の対数線形近似により近似解析解候補を導出し、近似最適投資が\n状態変数に依存することを示す。また、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\n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-65, pp. 1-22","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":"バトボルド, ボロルソフタ"}]},{"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":"Batbold, Bolorsuvd"}]},{"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":"バトボルド, ボロルソフタ"}],"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":"DPJ65_p.1-22ﾎﾞﾄﾎﾞﾙﾄ・菊池・楠田.pdf","filesize":[{"value":"531.8 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"DPJ65_p.1-22ﾎﾞﾄﾎﾞﾙﾄ・菊池・楠田.pdf","url":"https://shiga-u.repo.nii.ac.jp/record/9936/files/DPJ65_p.1-22ﾎﾞﾄﾎﾞﾙﾄ・菊池・楠田.pdf"},"version_id":"b5338541-206f-48b7-87f6-cebaec89d3c0"}]},"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":"再帰的効用","subitem_subject_scheme":"Other"},{"subitem_subject":"最適制御","subitem_subject_scheme":"Other"},{"subitem_subject":"十分条件","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":"Epstein-Zin 効用に基づく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":"Epstein-Zin 効用に基づく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":"2018-08-30"},"publish_date":"2018-08-30","publish_status":"0","recid":"9936","relation_version_is_last":true,"title":["Epstein-Zin 効用に基づく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":"2023-05-15T19:18:40.226564+00:00"}