This paper proposes a new method for portfolio constructions with a particle filtering method, which substantially improves performances of mean-variance portfolios through estimation of expected returns and returns’ volatilities based on Monte Carlo filter. In particular, we introduce state variables associated with expected returns as well as asymmetric volatilities in a state space framework and predict asset returns consistent with volatility changes over time. Resulting estimated portfolios outperform not only mean-variance portfolios with moving averages and variances of past returns, but also risk parity, minimum variance, and equally weighted portfolios, which do not depend on predictions of asset returns. Moreover, we construct portfolios with transaction costs, no-short-selling and weight constraints, which possibly include Japanese REIT and U.S. REIT in addition to domestic and international bonds and equities with a riskless asset. Finally, performance evaluation based on compound returns, Sharpe ratios, Sortino ratios and maximum drawdowns confirms the validity of our method.

Svenska fattigvårdsförbundet is known as the influential pressure group which had played an important role in establishment of new poor law of 1918. Its activities for child welfare has also attracted attention because of its remarkable contribution to the development of child welfare in Sweden. But man has not sufficiently scrutinized for which purposes this organization was established or how and what kind of activities this organization had developed. In this article we try to grasp whole aspect of this organization through examining the problems this organization took and the activities that unfolded. In that way we want to elucidate which role Svenska fattigvårdsförbundet had played in the formation of the Swedish welfare state. In this part of this article we discuss the establishing process in order to clarify aims of this organization when it was founded.

Doctor Kanji Ishii, who has been an excellent leader of the research on Japanese economic history, newly published ‘The Historical Structure of Capitalistic Society of Japan’. The characteristic features of this book can be summarized in four points; the deepness of analysis of problems having been hitherto left less touched, the sharpness of the new approach named as the politico-economic approach different from the conventional economic history approach or the cliometrics approach, the boldness of presented theory of the historical trends and theory of the State, the clearness of the presentation of the critical issues with which all historians should struggle today. I will try to estimate the four point features and show my comments on these.