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アイテム
低ボラティリティ投資と政策ポートフォリオ
https://doi.org/10.18999/ecos.66.4.39
https://doi.org/10.18999/ecos.66.4.39a64a9a0b-945c-433f-bbd9-81ef7d50aa0d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
08_nakashima-hideki.pdf (2.5 MB)
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| アイテムタイプ | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2019-04-05 | |||||
| タイトル | ||||||
| タイトル | 低ボラティリティ投資と政策ポートフォリオ | |||||
| 言語 | ja | |||||
| その他のタイトル | ||||||
| その他のタイトル | Low Volatility Investing in Policy Portfolio | |||||
| 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 | Policy benchmark | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Active investing | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Smart beta | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Low volatility investing | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Minimum variance portfolio | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Two-step decision-making | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Gain/loss asymmetry | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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't 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. | |||||
| 言語 | en | |||||
| 出版者 | ||||||
| 出版者 | 名古屋大学大学院経済学研究科 | |||||
| 言語 | ja | |||||
| 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.66.4.39 | |||||
| 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 | |||||
| 書誌情報 |
ja : 経済科学 巻 66, 号 4, p. 39-50, 発行日 2019-03-25 |
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| 著者版フラグ | ||||||
| 値 | publisher | |||||
