{"_buckets": {"deposit": "fcda5728-389c-43a0-bdc1-2fd56f986bc1"}, "_deposit": {"id": "27793", "owners": [], "pid": {"revision_id": 0, "type": "depid", "value": "27793"}, "status": "published"}, "_oai": {"id": "oai:nagoya.repo.nii.ac.jp:00027793"}, "item_9_alternative_title_19": {"attribute_name": "\u305d\u306e\u4ed6\u306e\u8a00\u8a9e\u306e\u30bf\u30a4\u30c8\u30eb", "attribute_value_mlt": [{"subitem_alternative_title": "Low Volatility Investing in Policy Portfolio"}]}, "item_9_biblio_info_6": {"attribute_name": "\u66f8\u8a8c\u60c5\u5831", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2019-03-25", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "4", "bibliographicPageEnd": "50", "bibliographicPageStart": "39", "bibliographicVolumeNumber": "66", "bibliographic_titles": [{"bibliographic_title": "\u7d4c\u6e08\u79d1\u5b66"}]}]}, "item_9_description_4": {"attribute_name": "\u6284\u9332", "attribute_value_mlt": [{"subitem_description": "In this paper we investigate smart beta investing, especially low volatility investing, in policy portfolio selection by institutional investors. Most of smart beta strategies except for Fundamental Index are sometimes called \"factor funds\". We can distinguish factor funds from classical active strategies, if we know whether a group of stocks is considered as a factor or a style. Institutional investors choose their own securities portfolio in two steps generally. Policy asset allocation is chosen first, and then individual securities portfolio selection is outsourced to professional fund manager(s). We can infer that most of investments in both active and smart beta strategies don\u0027t make this two-step decision- making inefficient, except for low volatility investing. We reveal low volatility investing makes this decision-making inefficient in principle, and demonstrate in a real quantitative simulation how much inefficient it becomes. A financial technique of leverage can resolve this problem, if the risk premium of low volatility investing is a reasonable negative value. Also we find by an empirical analysis that low volatility investing has rather unfavorable tendency in gain/loss asymmetry in both U.S. and Japan.", "subitem_description_type": "Abstract"}]}, "item_9_identifier_registration": {"attribute_name": "ID\u767b\u9332", "attribute_value_mlt": [{"subitem_identifier_reg_text": "10.18999/ecos.66.4.39", "subitem_identifier_reg_type": "JaLC"}]}, "item_9_publisher_32": {"attribute_name": "\u51fa\u7248\u8005", "attribute_value_mlt": [{"subitem_publisher": "\u540d\u53e4\u5c4b\u5927\u5b66\u5927\u5b66\u9662\u7d4c\u6e08\u5b66\u7814\u7a76\u79d1"}]}, "item_9_select_15": {"attribute_name": "\u8457\u8005\u7248\u30d5\u30e9\u30b0", "attribute_value_mlt": [{"subitem_select_item": "publisher"}]}, "item_9_source_id_7": {"attribute_name": "ISSN\uff08print\uff09", "attribute_value_mlt": [{"subitem_source_identifier": "0022-9725", "subitem_source_identifier_type": "ISSN"}]}, "item_creator": {"attribute_name": "\u8457\u8005", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "\u4e2d\u5cf6, \u82f1\u559c"}], "nameIdentifiers": [{"nameIdentifier": "90300", "nameIdentifierScheme": "WEKO"}]}, {"creatorNames": [{"creatorName": "NAKASHIMA, Hideki"}], "nameIdentifiers": [{"nameIdentifier": "90301", "nameIdentifierScheme": "WEKO"}]}]}, "item_files": {"attribute_name": "\u30d5\u30a1\u30a4\u30eb\u60c5\u5831", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_date", "date": [{"dateType": "Available", "dateValue": "2019-04-05"}], "displaytype": "detail", "download_preview_message": "", "file_order": 0, "filename": "08_nakashima-hideki.pdf", "filesize": [{"value": "2.5 MB"}], "format": "application/pdf", "future_date_message": "", "is_thumbnail": false, "licensetype": "license_free", "mimetype": "application/pdf", "size": 2500000.0, "url": {"label": "08_nakashima-hideki.pdf", "url": "https://nagoya.repo.nii.ac.jp/record/27793/files/08_nakashima-hideki.pdf"}, "version_id": "f3ecc127-2065-40e4-b49e-40a56c803a14"}]}, "item_keyword": {"attribute_name": "\u30ad\u30fc\u30ef\u30fc\u30c9", "attribute_value_mlt": [{"subitem_subject": "Policy portfolio", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Policy benchmark", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Active investing", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Smart beta", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Low volatility investing", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Minimum variance portfolio", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Two-step decision-making", "subitem_subject_scheme": "Other"}, {"subitem_subject": "Gain/loss asymmetry", "subitem_subject_scheme": "Other"}]}, "item_language": {"attribute_name": "\u8a00\u8a9e", "attribute_value_mlt": [{"subitem_language": "jpn"}]}, "item_resource_type": {"attribute_name": "\u8cc7\u6e90\u30bf\u30a4\u30d7", "attribute_value_mlt": [{"resourcetype": "departmental bulletin paper", "resourceuri": "http://purl.org/coar/resource_type/c_6501"}]}, "item_title": "\u4f4e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u6295\u8cc7\u3068\u653f\u7b56\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa", "item_titles": {"attribute_name": "\u30bf\u30a4\u30c8\u30eb", "attribute_value_mlt": [{"subitem_title": "\u4f4e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u6295\u8cc7\u3068\u653f\u7b56\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa"}]}, "item_type_id": "9", "owner": "1", "path": ["659/853/854/2372"], "permalink_uri": "https://doi.org/10.18999/ecos.66.4.39", "pubdate": {"attribute_name": "\u516c\u958b\u65e5", "attribute_name_i18n": "\u516c\u958b\u65e5", "attribute_value": "2019-04-05"}, "publish_date": "2019-04-05", "publish_status": "0", "recid": "27793", "relation": {}, "relation_version_is_last": true, "title": ["\u4f4e\u30dc\u30e9\u30c6\u30a3\u30ea\u30c6\u30a3\u6295\u8cc7\u3068\u653f\u7b56\u30dd\u30fc\u30c8\u30d5\u30a9\u30ea\u30aa"], "weko_shared_id": null}