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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
Other Libraries in Japan
  • Summary, etc....nalysis of the consumption-investment problem and CAPMs based on homothetic...
  • Subject HeadingHomothetic robust utility Consumption-investment problem CAPM Stochastic volatility St...

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
  • Summary, etc....d analyzes the consumption-investment problem and CAPMs under a quadratic s...
  • Subject Heading...ential utility Consumption-investment problem CAPM Stochastic volatility St...

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand
Digital文書・図像類
Kikuchi, Kentaro, Kusuda, KoujiThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-02Discussion Paper, Series ENo. E-21p.1-31
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  • Summary, etc.... a finite-time consumption-investment problem for investors with homothetic...
  • Subject HeadingLinear Approximation Consumption-investment problem Homothetic robust utility Mar...

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