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静的な政策ポートフォリオと動的なリバランス戦略
https://doi.org/10.18999/ecos.67.4.75
https://doi.org/10.18999/ecos.67.4.7548bf6e41-2d60-4386-9f12-aee0d676e23c
名前 / ファイル | ライセンス | アクション |
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07_nakashima-hideki.pdf (1.2 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2020-04-10 | |||||
タイトル | ||||||
タイトル | 静的な政策ポートフォリオと動的なリバランス戦略 | |||||
言語 | ja | |||||
その他のタイトル | ||||||
その他のタイトル | Static Policy Portfolio and Dynamic Rebalancing Strategy | |||||
言語 | en | |||||
著者 |
中島, 英喜
× 中島, 英喜× NAKASHIMA, Hideki |
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アクセス権 | ||||||
アクセス権 | open access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Policy Portfolio | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Dynamic rebalancing strategy | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Costs of rebalancing operation | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Myopic Strategy | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Duration of a rebalancing operation | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Heuristic approach | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Numerical simulation | |||||
抄録 | ||||||
内容記述 | In this paper we first describe the desirable relationship between a static policy portfolio and its dynamic rebalancing strategy. Subsequently we investigate efficient dynamic rebalancing strategy in a standard multi-period model. Though it is not difficult to show an objective function with quadratic form to get efficient strategy in this model, it is not easy to get the optimal solution for it. Therefore we restrict the solution to within myopic strategies, and search with a heuristic approach how the duration of once executed rebalancing operation depends on the portfolio after this operation. With this approach we can get some or many alternative strategies. Furthermore we calculate the objective function above for each strategy with numerical simulation. We should choice the strategy with the highest score in this function as the most efficient rebalancing strategy in the class of the prepared solutions. | |||||
言語 | en | |||||
内容記述タイプ | Abstract | |||||
出版者 | ||||||
言語 | ja | |||||
出版者 | 名古屋大学大学院経済学研究科 | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
出版タイプ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
ID登録 | ||||||
ID登録 | 10.18999/ecos.67.4.75 | |||||
ID登録タイプ | JaLC | |||||
ISSN(print) | ||||||
収録物識別子タイプ | PISSN | |||||
収録物識別子 | 0022-9725 | |||||
ISSN(Online) | ||||||
収録物識別子タイプ | EISSN | |||||
収録物識別子 | 2434-5741 | |||||
書誌情報 |
ja : 経済科学 巻 67, 号 4, p. 75-83, 発行日 2020-03 |
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著者版フラグ | ||||||
値 | publisher |