{"created":"2021-03-01T07:03:59.751166+00:00","id":25837,"links":{},"metadata":{"_buckets":{"deposit":"d40573c3-0253-47dc-aec4-8b63b1c9b0ca"},"_deposit":{"id":"25837","owners":[],"pid":{"revision_id":0,"type":"depid","value":"25837"},"status":"published"},"_oai":{"id":"oai:tsukuba.repo.nii.ac.jp:00025837","sets":["152:311","3:62:5592:210"]},"item_5_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-12","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"3","bibliographicPageEnd":"632","bibliographicPageStart":"613","bibliographicVolumeNumber":"151","bibliographic_titles":[{"bibliographic_title":"Journal of optimization theory and applications"}]}]},"item_5_creator_3":{"attribute_name":"著者別名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"山本, 芳嗣"}],"nameIdentifiers":[{}]}]},"item_5_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We generalize the notion of arbitrage based on the coherent risk measure, and investigate a mathematical optimization approach for tightening the lower and upper bounds of the price of contingent claims in incomplete markets. Due to the dual representation of coherent risk measures, the lower and upper bounds of price are located by solving a pair of semi-infinite linear optimization problems, which further reduce to linear optimization when conditional value-at-risk (CVaR) is used as risk measure. We also show that the hedging portfolio problem is viewed as a robust optimization problem. Tuning the parameter of the risk measure, we demonstrate by numerical examples that the two bounds approach to each other and converge to a price that is fair in the sense that seller and buyer face the same amount of risk.","subitem_description_type":"Abstract"}]},"item_5_description_5":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Errata : The following numerical values should be quadrupled. \n p.626, l. 1 : 6.25 and 15.7895 \n p.626, l. 3 & 4 : 12.7232 \n p.627, l.21 : 11.3258 \n p.627 Fig.3 : vertical scale and 12.7232 in the caption \n p.628 Fig.4 : vertical scale and 11.3258 in the caption \n The authors acknowledge Ms.Dora Ludvig and Dr. Péter Csóka for pointing out the errors.","subitem_description_type":"Other"}]},"item_5_identifier_34":{"attribute_name":"URI","attribute_value_mlt":[{"subitem_identifier_type":"HDL","subitem_identifier_uri":"http://hdl.handle.net/2241/114750"}]},"item_5_publisher_27":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"Springer Science"}]},"item_5_relation_11":{"attribute_name":"DOI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"10.1007/s10957-011-9899-y","subitem_relation_type_select":"DOI"}}]},"item_5_rights_12":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"© Springer Science+Business MediaThe final publication is available at www.springerlink.com"}]},"item_5_select_15":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"author"}]},"item_5_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0022-3239","subitem_source_identifier_type":"ISSN"}]},"item_5_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA00253056","subitem_source_identifier_type":"NCID"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Gotoh, Jun-ya"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Yamamoto, Yoshitsugu"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Yao, Weifeng"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2014-05-19"}],"displaytype":"detail","filename":"JOTA_151-3.pdf","filesize":[{"value":"482.7 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"JOTA_151-3","url":"https://tsukuba.repo.nii.ac.jp/record/25837/files/JOTA_151-3.pdf"},"version_id":"721c7400-c22c-48be-ad74-c9c9229ef168"}]},"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":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures"}]},"item_type_id":"5","owner":"1","path":["311","210"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-12-05"},"publish_date":"2011-12-05","publish_status":"0","recid":"25837","relation_version_is_last":true,"title":["Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures"],"weko_creator_id":"1","weko_shared_id":5},"updated":"2022-04-27T08:52:54.213502+00:00"}