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Volume 55 (2012)
- Issue 4 Pages 209-
- Issue 3 Pages 181-
- Issue 2 Pages 107-
- Issue 1 Pages 1-
Volume 55, Issue 2
Displaying 1-10 of 10 articles from this issue
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Article type: Cover
2012 Volume 55 Issue 2 Pages Cover4-
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDownload PDF (19531K) -
Article type: Appendix
2012 Volume 55 Issue 2 Pages App5-
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDownload PDF (66K) -
Article type: Appendix
2012 Volume 55 Issue 2 Pages App6-
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDownload PDF (66K) -
Daisuke Sasaki, Koichi MiyazakiArticle type: Article
2012 Volume 55 Issue 2 Pages 107-124
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSAlthough previous research has reported that the momentum strategy is effective in the US equity market, the contrarian strategy is effective in the Japanese equity market. The current research illuminates the relationship between the return found with the contrarian strategy (contrarian return) and credit rating in the Japanese equity market. We empirically verify the relationship between these, as well as the relationship between the factors explaining credit rating and the contrarian return. Furthermore, dividing the expected contrarian return into three components following Lo and MacKinlay (1990), we closely examine the relationship between each component and the credit rating. In the analyses on the contrarian return, the influence by the business cycle is also discussed. Lastly, we examine whether the contrarian return still exists after removing the return generated by markey risk factor.View full abstractDownload PDF (2073K) -
Yoshihiro KannoArticle type: Article
2012 Volume 55 Issue 2 Pages 125-145
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSA tensegrity structure is a prestressed pin-jointed structure consisting of continuously connected tensile members (cables) and disjoint compressive members (struts). This paper addresses topology optimization of tensegrity structures subjected to self-weight loads, where the compliance, i.e., the strain energy at the equilibrium state, is to be minimized. It is shown that the optimization problem can be formulated as a mixed integer linear programming (MILP) problem. The proposed method does not require connectivity relation of cables and struts of a tensegrity structure to be known in advance. Numerical experments illustrate that various tensegrity structures can be found by solving the presented MILP problem.View full abstractDownload PDF (1953K) -
Masashi MiyagawaArticle type: Article
2012 Volume 55 Issue 2 Pages 146-157
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSIn this paper, we provide a simple approximation for the distance from an arbitrary location to the kth nearest point. Distance is measured as the Euclidean and the rectilinear distances on a continuous plane. The approximation demonstrates that the kth nearest distance is proportional to the square root of k and inversely proportional to the square root of the density of points. The accuracy of the approximation is assessed for regular and random point patterns. Comparing the approximation with road network distances shows that the approximation on a continuous plane can be used for estimating the kth nearest distanceon actual road networks. As an application of the approximation to locational analysis, we obtain the average distance to the nearest open facility when some of the existing facilities are closed.View full abstractDownload PDF (882K) -
Jia-Ping Huang, Ushio SumitaArticle type: Article
2012 Volume 55 Issue 2 Pages 158-180
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDuring the past decade, a structured financial product called "Collateralized Debt Obligation (CDO)" has been drawing much attention of researchers and practitioners, and is now traded with growing liquidity. However, the approach for CDO pricing has been rather limited in the literature, largely because it is necessary to evaluate the time dependent distribution of the underlying cumulative loss so as to find the pricing scheme satisfying the non-arbitrage condition of the derivatives market. The purpose of this paper is to fill this gap by describing the CDO model in terms of a semi-Markov modulated Poisson process. Based on the theoretical results of Huang and Sumita as well as the Laguerre transform method, numerical algorithms are developed for evaluating the time dependent distribution of the cumulative loss up to time t. which in turn enables one to evaluate the price of a CDO tranche. Some numerical results are presented, demonstrating the power of the algorithms.View full abstractDownload PDF (1543K) -
Article type: Appendix
2012 Volume 55 Issue 2 Pages App7-
Published: 2012
Released on J-STAGE: June 27, 2017
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Article type: Cover
2012 Volume 55 Issue 2 Pages Cover5-
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDownload PDF (24K) -
Article type: Cover
2012 Volume 55 Issue 2 Pages Cover6-
Published: 2012
Released on J-STAGE: June 27, 2017
JOURNAL FREE ACCESSDownload PDF (24K)
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