In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described by an Ornstein-Uhlenbeck process. addition to consumption purchasing insurance, invests his wealth in financial market, which consists of risk-free asset, market index, pair risky assets with mispricing. Our aim is maximize expected utilities obtai...

n 1985, Werner De Bondt and I published an article that asked the question: “Does the stock market overreact?” The article was controversial because it gave evidence to support the hypothesis that a cognitive bias (investor overreaction to a long series of bad news) could produce predictable mispricing of stocks traded on the NYSE. Although this idea was hardly shocking to practitioners, the co...

In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always defined, and the candidate numeraire one would use to define a pricing measure is not strictly positive, which would lead to a non-equivalent pricing measure. W...

本稿では、東京圏郊外における不動産ポータルサイト掲載物件データ・成約物件データを用いて価格設定・物件特性の比較を行い、築古等の条件不利物件をとりまく住宅市場構造を分析した。次の傾向が明らかとなった。①掲載物件は成約物件に比べ、築30年以上の築古物件の割合が相対的に高く、築古物件においては物件属性から期待される成約価格に比べポータルサイト抹消時点の価格が相対的に低い。②成約物件データベースに含まれにくい掲載物件は、掲載期間中の減価率が大きく、市場滞留期間が長期化する。これらの現象をふまえると、一見すると価格が割安にみえる築古等の条件不利な住宅では、売り手が売出価格を本来の市場での評価よりも過大に設定してしまうこととあいまって、不動産ポータルサイトへの掲載を取り下げる事態に至っていることが示唆される。売り手は掲載コストをかけており売却希望はあったといえるが、少なくとも売主が希望する価格で...