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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 

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