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Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model

Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model
Digital文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-11Discussion Paper, Series EE-38p.1-29
Other Libraries in Japan

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

Regularized Robust Strategic Asset Allocation under Stochastic Variance-Covariance of Asset Returns
Digital文書・図像類
楠田, 浩二, 菊池, 健太郎The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-02Discussion Paper, Series ENo. E-31p.1-39
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Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk

Robust Control and CAPMs under a Quadratic Model with Inflation-Deflation Risk
Digital文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-04Discussion Paper, Series ENo. E-35p.1-41
Other Libraries in Japan

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility

Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility
Digital文書・図像類
Batbold, Bolorsuvd, 菊池, 健太郎, 楠田, 浩二The Institute for Economic and Business Research Faculty of Economics, Shiga University2023-10Discussion Paper, Series ENo. E-28p.1-28
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Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model

Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model
Digital文書・図像類
Batbold, Bolorsuvd, Kikuchi, Kentaro, Kusuda, KojiThe Institute for Economic and Business Research Faculty of Economics,Shiga University2021-01Discussion Paper, Series ENo.E-6p.1-25
Other Libraries in Japan
  • Author HeadingBatbold, Bolorsuvd Kikuchi, Kentaro Kusuda, Koji

Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk

Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk
Digital文書・図像類
Batbold, Bolorsuvd, Kikuchi, Kentaro, Kusuda, KojiThe Institute for Economic and Business Research Faculty of Economics,Shiga University2020-11Discussion Paper, Series ENo. E-5p.1-25
Other Libraries in Japan
  • Author HeadingBatbold, Bolorsuvd Kikuchi, Kentaro Kusuda, Koji

A strength evaluation of the data encryption standard / Koji Kusuda, Tsutomu Matsumoto. (IMES discussion paper ; no. 97-E-5)

A strength evaluation of the data encryption standard / Koji Kusuda, Tsutomu Matsumoto. (IMES discussion paper ; no. 97-E-5)
Paper図書
Institute for Monetary and Economic Studies, Bank of Japan1997.<UC881-A6>
National Diet Library

公開鍵暗号方式の安全性評価に関する現状と課題 (Discussion paper ; 97-J-11)

公開鍵暗号方式の安全性評価に関する現状と課題 (Discussion paper ; 97-J-11)
Paper図書
楠田浩二, 櫻井幸一 [著]日本銀行金融研究所[1997]<ND633-G876>
National Diet LibraryOther Libraries in Japan

A Robust Recursive Utility under Jump-Diffusion Information

A Robust Recursive Utility under Jump-Diffusion Information
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2006-07CRR Working Paper, Series BB-9p.1-21
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  • Author HeadingKusuda, Koji

暗号と特許 (IMES discussion paper series ; no.98-J-9)

暗号と特許 (IMES discussion paper series ; no.98-J-9)
Paper図書
相澤英孝, 宇根正志, 楠田浩二 [著]日本銀行金融研究所[1998]<A411-G97>
National Diet LibraryOther Libraries in Japan

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-08CRR Working Paper, Series BB-7p.1-21
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  • Author HeadingKusuda, Koji

Specification and Test of Extended LIBOR Market Models

Specification and Test of Extended LIBOR Market Models
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-11CRR Working Paper, Series BB-3p.1-18
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  • Author HeadingKusuda, Koji

Robust Control-based Stochastic Differential Utility under Jump-Diffusion Information

Robust Control-based Stochastic Differential Utility under Jump-Diffusion Information
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-07CRR Working Paper, Series BB-6p.1-18
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  • Author HeadingKusuda, Koji

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-10CRR Working Paper, Series BB-2p.1-19
Other Libraries in Japan
  • Author HeadingKusuda, Koji

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Author HeadingKusuda, Koji

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-09CRR Working Paper, Series BB-1p.1-16
Other Libraries in Japan
  • Author HeadingKusuda, Koji

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