@article{oai:nagoya.repo.nii.ac.jp:00029872,
 author = {中島, 英喜 and NAKASHIMA, Hideki},
 issue = {4},
 journal = {経済科学},
 month = {Mar},
 note = {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.},
 pages = {75--83},
 title = {静的な政策ポートフォリオと動的なリバランス戦略},
 volume = {67},
 year = {2020}
}