研究者詳細

教職員基本情報
氏名
Name
竹澤 直哉 ( タケザワ ナオヤ , TAKEZAWA Naoya )
所属
Organization
経営学部経営学科
職名
Academic Title
教授
専攻分野
Area of specialization

ファイナンス

学会活動
Academic societies

日本ファイナンス学会監事(第8期)
日本リアルオプション学会評議委員(第1期)

著書・学術論文数
No. of books/academic articles
総数 total number (33)
著書数 books (3)
学術論文数 articles (30)

出身学校
学校名
Univ.
卒業年月(日)
Date of Graduation
卒業区分
Graduation
   Classification2
早稲田大学理工学部応用物理学科 1992年03月  卒業 
詳細表示
出身大学院
大学院名
Grad. School
修了課程
Courses
   Completed
修了年月(日)
Date of Completion
修了区分
Completion
   Classification
早稲田大学大学院理工学研究科応用物理 制御工学専攻 博士前期課程  1994年03月  修了 
University of California at BerkeleyIndustrial Engineering and Operations ResearchIndustrial Engineering and Operations Research Master of Science  1997年05月  修了 
University of California at Berekeley Industrial Engineering and Operations Research Industrial Engineering and Operations Research Ph.D.   1999年12月  修了 
詳細表示
取得学位
       
学位区分
Degree
   Classification
取得学位名
Degree name
学位論文名
Title of Thesis
学位授与機関
Organization
   Conferring the Degree
取得年月(日)
Date of Acquisition
博士 Ph.D.    University of California at Berkeley Department of Industrial Engineering and Operation  1999年12月 
修士 Master in Science    University of California at Berkeley Department of Industrial Engineering and Operations Research  1997年05月 
修士 工学修士    早稲田大学大学院理工学研究科物理学及応用物理学専攻博士前期課程  1994年03月 
学士 工学士    早稲田大学理工学部応用物理学科  1992年03月 
詳細表示
著書
年度
Year
著書名
Title of the books
著書形態
Form of Book
NeoCILIUS
   請求番号/資料ID
Request No
出版機関名 Publishing organization,判型 Book Size,頁数 No. of pp.,発行年月(日) Date
2010  Recent advances in financial engineering 2010 Proceedings of the KIER-TMU International Workshop on Financial Engineering  共著   
World Scientific  , その他  , 215-224  , 2011/01   

概要(Abstract)  

備考(Remarks) 論文タイトル "Investor Charateristics and Portfolio Value" 

2006  「リアルオプションと経営戦略」  共著   
シグマベイズキャピタル  , 未設定  , 2006/11   

概要(Abstract)  

備考(Remarks)  

2002  The Japanese Finance: Corporate Finance and Asset Management in Changing Japan  共著   
JAI Elsevier Science  , 未設定  , 2003/01   

概要(Abstract)  

備考(Remarks)  

詳細表示
学術論文
年度
Year
論文題目名
Title of the articles
共著区分
Collaboration
   Classification
NeoCILIUS
   請求番号/資料ID
Request No
掲載誌名 Journal name,出版機関名 Publishing organization,巻/号 Vol./no.,頁数 Page nos.,発行年月(日) Date
2018  A Real Option Valuation of Lead Time Uncertainty: The value of workforce effort  単著   
南山経営研究  , 南山大学経営学会  , 33/2  , pp. 285-296  , 2018/11/30   

概要(Abstract) We attempt to value the workforce on a generic consumer product line when there is uncertainty in the lead time. The uncertainty is related to disruptions in the production line such as breakdowns etc. We focus on the lead time as a performance measure of production activity related disturbances. In addition, we assume that the primary source of uncertainty originates from the disruptions (machine breakdowns etc.) that can be decomposed into two factors. The first factor being the lead time uncertainty related directly to the impact from the breakdown, i.e. the white noise and the secondary effect originating from the recovery process. The second factor is examined and interpreted as the workforces’ effort to recover from the disruptions (machine breakdowns etc.). Evaluating a workforce in this context may justify high labor costs associated with a skilled workforce when making outsourcing decisions.  

備考(Remarks)  

2018  2. “DYNAMIC INVENTORY CONTROL MODEL WITH FLEXIBLE SUPPLY NETWORK”  共著   
Journal of the Operations Research Society of Japan  , 日本オペレーションズリサーチ学会  , vol.61 no.2  , 217-235  , 2018/04   

概要(Abstract) In this paper, we consider the inventory problem of a firm facing disruption probability in its supply chain which consists of multiple suppliers and multiple demand nodes. The firm wishes to minimize its total expected cost in a finite time horizon setting. In order to manage the supply chain disruption, we introduce flexibility into the supply chain network of our inventory management problem. The problem is formulated as a Markov decision process, and a state-dependent optimal threshold policy is derived. We show that the expected cost function is monotonic in the convex ordering of the demand distribution and that the optimal policy can be characterized with the ratio of the ordering cost and the disruption probability of supply. We also numerically demonstrate that the flexibility of the supply chain network reduces the total expected cost. 

備考(Remarks)  

2017  流動化プロセクにおけるセンチメントの影響  共著   
南山経営研究  , 南山大学経営学会  , 31/3  , 161-204  , 2017/3/30   

概要(Abstract) The objectives of this paper are to estimate risk by using the ”Closeout Risk Evaluation (CORE)
methodology," and to measure dynamic loss when sentiment is introduced. Such objectives provide
a risk management framework that takes loss and sentiment into consideration when a nancial
institution closes its position. Value-at-Risk, which is the main stream of risk management method,
is difficult to deal with multi-asset class, multi market portfolios. Therefore, this paper refers to
the CORE methodology proposed in “Managing risk in multi-asset class, multimarket central
counterparties: The CORE approach” [Vicente (2015)]. This is a risk management method that
can be used during the liquidatiion process in a multi-asset classes, multi market portfolio. This
approach enables us to model the closeout process dynamically, and can distinguish cash
ow
risk from market risk. In this paper, we refer to the denition of sentiment in “A Behavioral
Approach to Asset Pricing” [Shefrin(2008)]. This denition incorporates the in
uence of time and
models the closeout process dynamically. In the past, classic nance theory interprets sentiment
as the difference between the theoretical price and market price noise. However, the denition of
sentiment used in this paper allows us to capture the dynamical impact on investor behavior. 

備考(Remarks)  

2017  The Impact of Project Size and Risk Aversion on Market Sentiment Under the Risk Sensitive Measure  単著   
南山経営研究  , 南山大学経営学会  , 31/3  , 231-241  , 2017/3/30   

概要(Abstract) This paper investigates whether market sentiment (dispersion of the implied probability density function) is affected by project size (scaling parameter) and risk aversion level of investors. The market sentiment is considered to be the implied probability distribution under the risk sensitive measure. The impact of project size and risk aversion is examined under the risk sensitive measure numerically using a stylized example.  

備考(Remarks)  

2017  The Influence of Oversea Investors on Japanese Socially Conscious Funds  単著   
経営財務研究  , 36/ 1・2  , 47-65  , 2017/12/1   

概要(Abstract) The purpose of this paper is to indirectly investigate the risk attributes of Socially Conscious
Funds that result from oversea investors in the Japanese market during the early 2000’s. The
risk attributes are proxied with benchmarks such as the domestic market index and an overseas
apparel & luxury goods index. The apparel & luxury goods index is chosen as the benchmark
for speculative overseas investors because luxury consumption is known to have a correlation
with the investment activity of wealthy individuals with a high fraction of equity wealth. Such
overseas investors tend to possess a relatively low level of risk aversion, and this paper identifies
the impact of such speculative overseas investors (as approximated by the apparel & luxury goods
index) in comparison to Socially Conscious Funds investors (who are argued to pursue long term
goals with a buy-and-hold strategies). A rolling regression analysis also reveals the influence of
speculative investors on various industries. A clear breakpoint is found around the financial crisis
of 2008, but the change in the influence of Apparel & Luxury goods index differs between the
industrial sectors. 

備考(Remarks) 査読付き論文 

2016  The Effect of Equity Holding and Occupation on Household Consumption  単著   
南山経営研究  , 南山大学経営学会  , 31/1・2  , 1-24  , 2016/10/30   

概要(Abstract) This paper attempts to directly measure income risk diversification by observing the relation between household consumption, equity holdings and the equity premium with a unique data set covering Japanese households. This is achieved by first showing that the correlation between the total consumption levels of households and the fraction of equity wealth held in proportion to total savings (as a proxy for liquid assets), has a relatively consistent relation. The sensitivity of total consumption with respect to equity holding as a fraction of total savings increases as the proportion of equity holding with respect to total savings increases. When the risk aversions implied by total consumption of households with different occupations (i.e. government workers and individual proprietors) are compared, the response to changes in the equity premium appear to affect the total consumption patterns of households differently depending on their income risk. The subsequent analysis reveals that the total consumption changes are more sensitive to normalized wealth shocks generated from changes in the equity premium for individual proprietors as opposed to government workers. This is evidence that the risk aversion of government workers is higher.  

備考(Remarks) 査読付き論文 

2015  The Socially Conscious Factor and the Minimum Entropy Distribution in Japan  単著   
南山経営研究  , 南山大学経営学会  , 30/3  , 257-269  , 2016/3/31   

概要(Abstract)  

備考(Remarks)  

2015  リアルオプション・アプローチによる不確実性下の観光事業者意思決定―確率的Verhulst/Gompertz方程式を満たす将来貨幣的満足度をもとに―  共著   
日本観光学会誌  , 日本観光学会  , 56  , 1-16  , 2015/12/25   

概要(Abstract)  

備考(Remarks)  

2014  Can Waste and Recreational Expense explain the Risk Premium in Japan?   単著   
南山経営研究  , 南山経営学会  , 29/3  , 1-13  , 20150300   

概要(Abstract)  

備考(Remarks)  

2014  和歌山県における観光地別の宿泊・日帰客動向に関する時系列分析  共著   
日本観光学会誌  , 日本観光学会  , 55号  , 32-45  , 20141225   

概要(Abstract)  

備考(Remarks) 査読付き論文 

詳細表示
その他研究業績
年度
Year
題名等
Titles
カテゴリ
Category
細目
Authorship
掲載雑誌名等 Publishing Magazine,発行所 Publisher,巻/号 Vol./no.,頁数 Page nos.,発行年月(日) Date
2007  Beneficiary Rights in the Japanese REIT Market  学会発表  共著 
2008 AsFA/NFA International Finance Conference、横浜  , 2008/7   

概要(Abstract)  

備考(Remarks)  

2007  Beneficiary Rights in the Japanese REIT Market  学会発表・予稿集  その他 
日本リアルオプション学会第2回大会  , 日本リアルオプション学会  , 93-96  , 2007/11   

概要(Abstract)  

備考(Remarks)  

2006  How Did Japanese Investments Influence International Art Prices?  学会報告  その他 
Econophysics Colloquium 2006 and Third Bonzenfri Colloquium 、東京  , 2006/11   

概要(Abstract)  

備考(Remarks)  

2006  The Firm Value Revelation with Respect to Information Entropy-A Maximum Entropy Approach  学会報告  その他 
日本リアルオプション学会2006年研究発表大会、東京  , 2006/11   

概要(Abstract)  

備考(Remarks)  

2006  The Effect of Correlation on Entropy-based Distribution Functions  学会報告  その他 
INFORMS International Hong Kong 2006  , 2006/06   

概要(Abstract)  

備考(Remarks)  

2006  Maximum Entropy Distributions and Derivative Security Prices  学会報告  その他 
INFORMS International Hong Kong 2006  , 2006/06   

概要(Abstract)  

備考(Remarks)  

2006  Evaluating the Procurement Strategy of Plastic Input Material for an Auto Manufacturer: A Case Study  学会報告  その他 
日本ファイナンス学会第14回大会  , 2006/06   

概要(Abstract)  

備考(Remarks)  

2005  The Firm Value Revelation with Respect to Information Entropy: A Maximum Entropy Approach  学会報告  その他 
AsFA/TFA/FMA International Finance Conference, Kuala Lumpur, Malyasia  , 2005/07   

概要(Abstract)  

備考(Remarks)  

2005  “How Did Japanese Investments Influence International Art Prices?”  学会報告  共著 
European Finance Association 32nd Annual Meeting, Moscow, Russia  , 2005/07   

概要(Abstract)  

備考(Remarks)  

2004  Credit Risk of Vertical Keiretsu Firms: Evidence from the Japanese Automobile Industry  学会報告  その他 
FMA International Annual Meeting, Denver CO U.S.A.  , 2004/10   

概要(Abstract)  

備考(Remarks)  

詳細表示
研究発表
年度
Year
題目又はセッション名
Title or Name of Session
細目
Authorship
発表年月(日)
Date
発表学会等名称 Name, etc. of the conference at which the presentation is to be given, 主催者名称 Organizer, 掲載雑誌名等 Publishing Magazine,発行所 Publisher,巻/号 Vol./no.,頁数 Page nos.
2018  Market Investor Sentiment in the Mutual Fund Market – A Kalman Filter Appraoch using Time varying Beta  単独  2018/6/24 
日本ファイナンス学会第26回大会  , 日本ファイナンス学会   

概要(Abstract)  

備考(Remarks)  

2017  "How Socially Conscious Fund Returns React to Moment Constraints"  単独  20171022 
YNU-Nanzan Finance Workshop 2017  , 横浜国立大学大学院国際社会科学研究院   

概要(Abstract)  

備考(Remarks)  

2017  “How Socially Conscious Fund Returns React to Moment Constraints. -The Sensitivity of the Implied Maximum Entropy Distributions”  単独  20170604 
日本ファイナンス学会第25回大会プログラム  , 日本ファイナンス学会   

概要(Abstract)  

備考(Remarks)  

2016  The Effect of Equity Holding and Occupation on Household Consumption  単独  2016/5/21 
日本ファイナンス学会第24回大会  , 日本ファイナンス学会   

概要(Abstract)  

備考(Remarks)  

2016  供給ネットワークの柔軟性と在庫管理モデル  共同  2016/11/19 
日本リアルオプション学会2016年研究発表大会  , 日本リアルオプション学会   

概要(Abstract)  

備考(Remarks)  

2016  The Influence of Oversea Investors on Japanese Socially Conscious Funds  単独  2016/10/9 
日本経営財務研究学会第40回全国大会  , 日本経営財務研究学会   

概要(Abstract)  

備考(Remarks)  

2015  Optimal Project Size under the Risk Sensitive Measure  単独  2015/10/25 
日本リアルオプション学会  , 日本リアルオプション学会   

概要(Abstract)  

備考(Remarks)  

2014  The Determinants of Household Consumption   単独  2014/05/10 
Financial Management Association Asia 2014  , Financial Management Association   

概要(Abstract)  

備考(Remarks)  

2013  車社会の交通利便性と不動産賃貸価格に関する考察  共同  2013/10/6 
日本経営財務研究学会 第37回全国大会  , 日本経営財務研究学会   

概要(Abstract)  

備考(Remarks)  

2012  Diversification of Risk Under the Risk Sensitive Measure  単独  2012/11/4 
National Conference of Japan Association of Real Options and Strategy  , Japan Association of Real Options and Strategy   

概要(Abstract)  

備考(Remarks)  

詳細表示
研究助成
年度
Year
助成名称または科学研究費補助金研究種目名
Name of grant or research classification for scientific research funding
研究題目
Research Title
役割(代表/非代表)
Role
助成団体
Granting body
助成金額
Grant amount
2014  科学研究費補助金  企業活動のリアルオプション評価に関する研究 
     

研究内容(Research Content)  

備考(Remarks)  

2013  南山大学パッヘ研究奨励金I-A-2  消費、環境と株式市場の関係に関する分析 
     

研究内容(Research Content)  

備考(Remarks)  

2010  研究助成  投資家の消費と株式市場に関する研究 
研究代表者  日東学術振興財団  500千円 

研究内容(Research Content)  

備考(Remarks)  

2009  基盤研究(C)  企業活動と金融リスクのリアルオプション評価に関する研究 
研究代表者  日本学術振興会  2540千円 

研究内容(Research Content) 科学研究費補助金 

備考(Remarks)  

2008  基盤研究(B)  金融資産の評価モデルの構築とその応用に関する研究 
研究分担者  日本学術振興会  4940千円 

研究内容(Research Content) 科学研究費補助金 

備考(Remarks)  

2006  萌芽研究  不完全情報下での金融資産評価に関する理論的および実証的研究 
研究分担者  日本学術振興会  3600千円 

研究内容(Research Content) 科学研究費補助金 

備考(Remarks)  

2001    系列、グループへ参入する価値・リアルオプションを用いたビジネス戦略の評価 
研究代表者  全国銀行学術研究振興財団  700千円 

研究内容(Research Content) 「研究に関する助成」 

備考(Remarks)  

詳細表示
教育活動
年度
Year
タイトル
Title
内容等
Content
活動期間
Period of Activities
2010  ビジネス研究科授業のためのケース教材作成 

「国際投資」(ビジネス研究科)のためのケース教材作成 

2010/4~2010/7 
詳細表示
研究活動/社会的活動
年度
Year
活動名称
Name of activities
活動期間
Period of Activities
2011  日本リアルオプション学会  2011-2012 

活動内容等(Content of Activities) 評議委員 

2008  日本ファイナンス学会  2008-2010 

活動内容等(Content of Activities) 監事 

2007  日本リアルオプション学会  2006-2008 

活動内容等(Content of Activities) 評議委員 

詳細表示
著書・学術論文に関する統計情報
年度
Academic Year
学術研究著書の件数
No. of Academic Books
学会誌・国際会議議事録等に掲載された学術論文の件数
No. of Academic Articles in Journals/Int'l Conference Papers
学内的な紀要等に掲載された学術論文の件数
No. of Academic Articles Pub'd in University Bulletins
学会受賞等の受賞件数
No. of Academic Awards Received
国際学会でのゲストスピーカーの件数
No. of Times as Guest Speaker at Int'l Academic Conferences
国際学会での研究発表の件数
No. of Presentations of Papers at Int'l Academic Conferences
国内学会でのゲストスピーカーの件数
No. of Times as Guest Speaker at National Academic Conf.
国内学会での研究発表の件数
No. of Papers Presented at National Academic Conf.
2018 
2017 
2016 
2015 
2014 
2013 
2012 
2011 
2010 
2009 
詳細表示

2019/03/01 更新