{"created":"2023-12-05T05:56:44.748322+00:00","id":2000262,"links":{},"metadata":{"_buckets":{"deposit":"a2db4118-695d-4662-8467-dca1233963ab"},"_deposit":{"created_by":17,"id":"2000262","owners":[17],"pid":{"revision_id":0,"type":"depid","value":"2000262"},"status":"published"},"_oai":{"id":"oai:kanazawa-u.repo.nii.ac.jp:02000262","sets":["934:941:943:4338"]},"author_link":[],"control_number":"2000262","item_7_biblio_info_8":{"attribute_name":"bibliographic_information","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2023","bibliographicIssueDateType":"Issued"},"bibliographicPageEnd":"27","bibliographicPageStart":"17","bibliographicVolumeNumber":"66","bibliographic_titles":[{"bibliographic_title":"The Science Reports of Kanazawa University","bibliographic_titleLang":"en"}]}]},"item_7_description_21":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Portfolio optimization is a well-known and beneficial procedure used by share-holders to select their portfolios. An investor must seek an equilibrium between risk and profit while making investment decisions. The fundamental concern is risk because the responsibility of the risk for each investor is different. A risk profile of each investor is char-acterized as a risk measure. In this paper, we focus on Conditional Value-at-Risk (CVaR). We numerically consider an optimal portfolio which minimizes CVaR under CEV model. Finally, the numerical results of CVaR and the optimal portfolio are discussed.","subitem_description_type":"Abstract"}]},"item_7_identifier_registration":{"attribute_name":"identifier_registration","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.24517/0002000262","subitem_identifier_reg_type":"JaLC"}]},"item_7_publisher_17":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Institute of Science and Engineering, Kanazawa University"}]},"item_7_relation_28":{"attribute_name":"関連URI","attribute_value_mlt":[{"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://scirep.w3.kanazawa-u.ac.jp/","subitem_relation_type_select":"URI"}}]},"item_7_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"2433-040X","subitem_source_identifier_type":"ISSN"}]},"item_7_version_type_25":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"IMAMURA Yuri"}]},{"creatorNames":[{"creatorName":"KOSAPONG Benyanee"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2023-12-06"}],"displaytype":"detail","filename":"Sci_Rep66-002.pdf","filesize":[{"value":"2 MB"}],"format":"application/pdf","licensetype":"license_5","mimetype":"application/pdf","url":{"url":"https://kanazawa-u.repo.nii.ac.jp/record/2000262/files/Sci_Rep66-002.pdf"},"version_id":"c7dd2fe9-6029-4384-8fa5-ecab5039fd14"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Portfolio optimization, risk measure, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), CEV model, numerical analysis","subitem_subject_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"item_resource_type","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Portfolio optimization with conditional Value-at-Risk under CEV model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Portfolio optimization with conditional Value-at-Risk under CEV model","subitem_title_language":"en"}]},"item_type_id":"7","owner":"17","path":["4338"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2023-12-06"},"publish_date":"2023-12-06","publish_status":"0","recid":"2000262","relation_version_is_last":true,"title":["Portfolio optimization with conditional Value-at-Risk under CEV model"],"weko_creator_id":"17","weko_shared_id":-1},"updated":"2024-10-09T00:14:21.522227+00:00"}