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  1. A400 経済学部/経済学研究科
  2. A400b 紀要
  3. 経済科学
  4. 66(4)

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.66.4.39
a64a9a0b-945c-433f-bbd9-81ef7d50aa0d
名前 / ファイル ライセンス アクション
08_nakashima-hideki.pdf 08_nakashima-hideki.pdf (2.5 MB)
Item type 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
その他のタイトル
その他のタイトル Low Volatility Investing in Policy Portfolio
著者 中島, 英喜

× 中島, 英喜

WEKO 90300

中島, 英喜

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NAKASHIMA, Hideki

× NAKASHIMA, Hideki

WEKO 90301

NAKASHIMA, Hideki

Search repository
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 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.
内容記述タイプ Abstract
出版者
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
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 ISSN
収録物識別子 0022-9725
書誌情報 経済科学

巻 66, 号 4, p. 39-50, 発行日 2019-03-25
著者版フラグ
値 publisher
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