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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. 67(4)

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.67.4.75
48bf6e41-2d60-4386-9f12-aee0d676e23c
名前 / ファイル ライセンス アクション
07_nakashima-hideki.pdf 07_nakashima-hideki.pdf (1.2 MB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
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
その他のタイトル
その他のタイトル Static Policy Portfolio and Dynamic Rebalancing Strategy
著者 中島, 英喜

× 中島, 英喜

WEKO 98275

中島, 英喜

Search repository
NAKASHIMA, Hideki

× NAKASHIMA, Hideki

WEKO 98276

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 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.
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.67.4.75
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
ISSN(Online)
収録物識別子タイプ ISSN
収録物識別子 2434-5741
書誌情報 経済科学

巻 67, 号 4, p. 75-83, 発行日 2020-03
著者版フラグ
値 publisher
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