@article{oai:reitaku.repo.nii.ac.jp:00000157,
 author = {上村, 昌司 and Kamimura, Shoji},
 issue = {1},
 journal = {麗澤経済研究, Reitaku International Journal of Economic Studies},
 month = {Mar},
 note = {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.},
 pages = {41--48},
 title = {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},
 volume = {18},
 year = {2010},
 yomi = {カミムラ, ショウジ}
}