Regularized Robust Strategic Asset Allocation under Stochastic Variance-Covariance of Asset Returns

• Material Type: 文書・図像類
• Title: Regularized Robust Strategic Asset Allocation under Stochastic Variance-Covariance of Asset Returns
• Author/Editor: 楠田, 浩二; 菊池, 健太郎
• Author Heading: 楠田, 浩二 クスダ, コウジ; 菊池, 健太郎 キクチ, ケンタロウ
• Publication, Distribution, etc.: The Institute for Economic and Business Research Faculty of Economics, Shiga University
• Publication Date: 2024-02
• Publication Date (W3CDTF): 2024-02
• Periodical title: Discussion Paper, Series E
• No. or year of volume/issue: No. E-31
• Issue: No. E-31
• Pages: 1-39
• Text Language Code: eng
• Subject Heading: Homothetic robust utility; Inflation-deflation risk; Stochastic variance-covariance; Regularization
• Target Audience: 一般
• Note (General): Discussion Paper, Series E, No. E-31, pp. 1-39
• Format (IMT): application/pdf
• Source: DPE31Kusuda.pdf （fulltext）; https://shiga-u.repo.nii.ac.jp/record/2000084/files/DPE31Kusuda.pdf
• Access Restrictions: 限定公開
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ

• Summary, etc.: This study considers a finite-time robust consumption-investment problem under a quadratic security market model with stochastic variances and covaria...