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平均分散ポートフォリオ選択問題における状態変数の選択について
https://doi.org/10.18901/00000144
https://doi.org/10.18901/00000144cf972dff-78f2-47ea-a612-4cb062293b5c
名前 / ファイル | ライセンス | アクション |
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④上村昌司 (374.1 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2012-05-02 | |||||
タイトル | ||||||
タイトル | 平均分散ポートフォリオ選択問題における状態変数の選択について | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Variable selection for the mean-variance portfolio selection problem | |||||
言語 | ||||||
言語 | jpn | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.18901/00000144 | |||||
ID登録タイプ | JaLC | |||||
著者名 |
上村, 昌司
× 上村, 昌司 |
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著者名(英) |
Kamimura, Shoji
× Kamimura, Shoji |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper, we study the conditional mean-variance portfolio selection problem. Following the work of Brandt and Santa-Clara ( 2006 ), we investigate which variables are important for the optimal portfolio weight. We use as state variables the dividend-price ratio, the term spread, and the trend variables in Japanese market. We find that the dividend-price ratio explains the optimal portfolio weight, but the others do not. |
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書誌情報 |
麗澤経済研究 en : Reitaku International Journal of Economic Studies 巻 18, 号 1, p. 41-48, 発行日 2010-03-10 |
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出版者 | ||||||
出版者 | 麗澤大学経済学会 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0919-6706 |