{"created":"2021-03-01T06:59:44.526893+00:00","id":40158,"links":{},"metadata":{"_buckets":{"deposit":"3e42b979-be43-4c8c-9003-69fa554ee783"},"_deposit":{"id":"40158","owners":[],"pid":{"revision_id":0,"type":"depid","value":"40158"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00040158","sets":["312:6865:6987:6988","9:504:6868:6989:6990"]},"item_4_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2003","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"4","bibliographicPageEnd":"726","bibliographicPageStart":"687","bibliographicVolumeNumber":"10","bibliographic_titles":[{"bibliographic_title":"Journal of mathematical sciences, the University of Tokyo"}]}]},"item_4_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_4_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"When an asset is completely liquid, an investor can realize his desirable strategy. But when the asset is not sufficiently liquid, the investor cannot trade the asset continuously and his strategy is restricted. He has to consider the risk of the failure of the trade. In this paper a risky asset is traded at the random times and an investor has a power utility function. In this situation we solve an optimal portfolio problem. We propose an asymptotic expansion of the optimal strategy. Further we discuss convergence of the value function when the asset becomes liquid.","subitem_description_type":"Abstract"}]},"item_4_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Graduate School of Mathematical Sciences, The University of Tokyo"}]},"item_4_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11021653","subitem_source_identifier_type":"NCID"}]},"item_4_source_id_8":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"13405705","subitem_source_identifier_type":"ISSN"}]},"item_4_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"415","subitem_subject_scheme":"NDC"}]},"item_4_text_16":{"attribute_name":"Mathematical Reviews Number","attribute_value_mlt":[{"subitem_text_value":"MR2037764"}]},"item_4_text_17":{"attribute_name":"Mathmatical Subject Classification","attribute_value_mlt":[{"subitem_text_value":"91B28(MSC2000)"},{"subitem_text_value":"93E20(MSC2000)"}]},"item_4_text_33":{"attribute_name":"原稿受領日","attribute_value_mlt":[{"subitem_text_value":"2002-12-03"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Matsumoto, Koichi"}],"nameIdentifiers":[{"nameIdentifier":"138740","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-06-27"}],"displaytype":"detail","filename":"jms100405.pdf","filesize":[{"value":"245.3 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"jms100405.pdf","url":"https://repository.dl.itc.u-tokyo.ac.jp/record/40158/files/jms100405.pdf"},"version_id":"0ff5da8c-3570-4a21-95d3-17e9c060e3af"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Portfolio optimization","subitem_subject_scheme":"Other"},{"subitem_subject":"liquidity","subitem_subject_scheme":"Other"},{"subitem_subject":"power utility function","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Optimal Portfolio of Low Liquid Assets with a Power Utility Function","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Optimal Portfolio of Low Liquid Assets with a Power Utility Function"}]},"item_type_id":"4","owner":"1","path":["6988","6990"],"pubdate":{"attribute_name":"公開日","attribute_value":"2008-03-04"},"publish_date":"2008-03-04","publish_status":"0","recid":"40158","relation_version_is_last":true,"title":["Optimal Portfolio of Low Liquid Assets with a Power Utility Function"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:15:15.568831+00:00"}