{"created":"2021-03-01T07:01:54.451120+00:00","id":42069,"links":{},"metadata":{"_buckets":{"deposit":"bb13c764-8e64-4a39-be22-8191e9a59215"},"_deposit":{"id":"42069","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42069"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042069","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-624","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper provides a new method to construct a dynamic optimal portfolio for asset management in a complete market. The method generates a target payoff distribution by the cheapest dynamic trading strategy. It is regarded as an extension of Dybvig (1988a) to continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. As a practical example, the method is applied to hedge fund replication, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf624ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"96815","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kyo, Yamamoto"}],"nameIdentifiers":[{"nameIdentifier":"96816","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"JEL Classification: G11, G20, G23","subitem_subject_scheme":"Other"},{"subitem_subject":"Hedge Fund Replication","subitem_subject_scheme":"Other"},{"subitem_subject":"Asset Management","subitem_subject_scheme":"Other"},{"subitem_subject":"Dynamic Portfolio Optimization","subitem_subject_scheme":"Other"},{"subitem_subject":"Malliavin Calculus","subitem_subject_scheme":"Other"},{"subitem_subject":"Martingale Method","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":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42069","relation_version_is_last":true,"title":["Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:21.975056+00:00"}