文書・図像類

消費と債券投資の多期間最適化問題における高次の近似解析解

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消費と債券投資の多期間最適化問題における高次の近似解析解

Material type
文書・図像類
Author
楠田, 浩二
Publisher
Center for Risk Research (CRR), Shiga University
Publication date
2013-03
Material Format
Digital
Capacity, size, etc.
-
NDC
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Notes on use

Note (General)：

type:Technical ReportCampbell and Viceira (2002) は相対的危険回避度一定の期待効用関数と金利のバシチェック・モデルを仮定し、消費と債券投資の多期間最適化問題における近似解析解を確率制御により導出した。しかし、同解における長期債の投資比率は金利低下局面で...

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  • Shiga University Repository

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Digital

Material Type
文書・図像類
Title
消費と債券投資の多期間最適化問題における高次の近似解析解
Author/Editor
楠田, 浩二
Author Heading
楠田, 浩二
Publication, Distribution, etc.
Center for Risk Research (CRR), Shiga University
Publication Date
2013-03
Publication Date (W3CDTF)
2013-03
Alternative Title
ショウヒ ト サイケントウシ ノ タキカン サイテキカ モンダイ ニ オケル コウジ ノ キンジ カイセキカイ
Periodical title
CRR Discussion Paper
No. or year of volume/issue
No. J-35