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文書・図像類

頑健効用に基づく消費と債券投資の多期間最適化

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頑健効用に基づく消費と債券投資の多期間最適化

Material type
文書・図像類
Author
楠田, 浩二
Publisher
Center for Risk Research (CRR), Shiga University
Publication date
2013-04
Material Format
Digital
Capacity, size, etc.
-
NDC
-
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Notes on use

Note (General)：

type:Technical Report消費と債券投資の多最適化問題において、Campbell and Viceira(2002) は相対的危険回避度一定の期待効用と金利のバシチェック・モデルを仮定し低次の近似解析解を導出し、楠田(2013) は同問題に対し高次の近似解析解を導出している。本稿では...

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  • Shiga University Repository

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Digital

Material Type
文書・図像類
Title
頑健効用に基づく消費と債券投資の多期間最適化
Author/Editor
楠田, 浩二
Author Heading
楠田, 浩二
Publication, Distribution, etc.
Center for Risk Research (CRR), Shiga University
Publication Date
2013-04
Publication Date (W3CDTF)
2013-04
Alternative Title
ガンケンコウヨウ ニ モトヅク ショウヒ ト サイケントウシ ノ タキカン サイテキ カ
Periodical title
CRR Discussion Paper, Series J
No. or year of volume/issue
No. J-38