"A Factor Allocation Approach to Optimal Bond Portfolio"

This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors' allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.

"A Factor Allocation Approach to Optimal Bond Portfolio"

This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors' allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.

A Comparative Analysis of EU and Japan’s Strategies and Legal Systems Regarding Plastic Pollution: Using the “Nudge,” “Innovation Policy,” and “Risk Policy” Fusion Approach

departmental bulletin pape

Term Structure of Interest Rates under Recursive Preferences in Continuous Time ( Revised in February 2008, subsequently published in "Asia-Pacific Financial Markets", Vol.15-3,4, 273-305. )

This paper proposes a testable continuous-time term-structure model with recursive utility to investigate structural relationships between the real economy and the term structure of real and nominal interest rates. In a representative-agent model with recursive utility and mean-reverting expectations on real output growth and inflation, this paper shows that, if (1) real short-term interest rates are high during economic booms and (2) the agent is comparatively risk-averse (less risk-averse) relative to time-separable utility, then a real yield curve slopes down (slopes up, respectively). Additionally, for the comparatively risk-averse agent, if (3) expected inflation is negatively correlated with the real output and its expected growth, then a nominal yield curve can slope up, regardless of the slope of the real yield curve.

Abstracts: A Study on the Design of a Legal System for the Technology Assessment in Advanced Science and Technology Policies: The Relationship between Environmental Assessment and Uncertainty Assessment

departmental bulletin pape

Innovative Separation Technology Utilizing Marine Bioresources: Multifaceted Development of a Chitosan-Based System Leading to Environmentally-Friendly Processes

Chitosan, known as a most typical marine biological polymer, has a fruitful capability of biocompatible gel formation. Attempts of chitosan have been made to develop it from the multifaceted viewpoint of separation technology. The physicochemical properties of chitosan containing a lot of hydroxyl groups and reactive amino groups help to build the characteristic polymer networks. The deacetylation degree of chitosan is found as the most influential factor to regulate properties of chitosan hydrogels. The antibacterial activity of the chitosan membrane is one of its notable abilities because of its practical application. The chitosan, its derivatives, and the complex formation with other substances has been used for applications in filtration and membrane separation processes. Adsorption processes based on chitosan have been also developed widely. Moreover, complex of chitosan gel helps to immobilize adsorbent particles. The chitosan membrane immobilizing Prussian-Blue for cesium ion removal from the aqueous phase is one of the leading cases. To elaborate the adsorption behavior on the chitosan immobilizing adsorbent, the isothermal equilibrium and mass transfer characteristics can be discussed. The adsorption process using chitosan-based membranes in combination with filtration in a flow process is advantageous compared with the batch process. More advanced studies of chitosan aerogel and chitosan nanofibers have been proceeded recently, especially for adapting to water purification and air filtration