
Hiroshi IshijimaChuo University · Graduate School of International Accounting
Hiroshi Ishijima
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11
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Publications
Publications (11)
As real estate and financial asset markets are now merging, we need a theoretical foundation for analysis of real estate investments in conjunction with both domestic and international financial investments. This study presents a methodology for evaluating real estate values. Specifically, we extend a classical hedonic model to a sophisticated one...
We construct a theory of real estate pricing that is directly applicable to empirical analysis. Using a dynamic portfolio optimization strategy, we first show that under defined technical conditions, the theoretical equilibrium price of a piece of real estate can be described as a linear combination of attributes common to all pieces of real estate...
Real estate is an important part of asset markets, particularly in Japan, where the total monetary value of real estate amounts to two-thirds of national wealth. It comprises a similarly large fraction of the asset markets of most developed countries, indicating that the appraisal of real estate values is essential in ensuring steady and sustainabl...
In this paper we develop a portfolio selection theory under regime switching means and volatilities. We use log mean-variance
as the portfolio selection criteria and, as a result, the theory is made substantially easier to implement than other existing
theories. Moreover, the estimated regimes are easy to interpret as one of the regimes corresponds...
In this paper we develop a portfolio selection theory considering discrete regime shifts in the investment opportunity and
conduct an empirical analysis using Japanese sector indices to verify its effectiveness. Specifically, we model the regime
shifts using a first-order Markov switching model and consider a dynamic portfolio selection problem usi...
In this paper, we derive an analytic formula for pricing European call options under the setting of discrete-time Hidden Markov Models (HMM). HMM is specified by a state equa-tion with the time-homogeneous transition probability matrix and an observation equation which describes asset prices by the log-normal model in which both drift and volatilit...
The purpose of this paper is to derive an asset pricing model based on a growth optimal portfolio, in a market where there are multiple regimes, and to estimate the risk premiums of J-REITs based on this theory. In an asset pricing model employing a regime switching model, two equations are described – an observa-tion equation which governs asset p...
Under the continuous-time framework with incomplete information on asset price processes, we show that the universal portfolio coincides with the optimal Bayes portfolio, which have been studied intensively in the financial economics literature. That is, we can interpret the universal portfolio as simultaneously estimating the drift and controlling...
We construct easy-to-use numerical methods for computing universal portfolios. The universal portfolio pioneered by Cover (1991) has a nice property that it can learn the optimal growth rate of portfolio value asymptotically, under incomplete in-formation. The incomplete information here is defined as the sample path of asset prices alone, and the...
In this paper, we propose a theory for deriving the optimal portfolio that assures the log-utility investors of maximizing their expected utility. Restricting investors'' information at defined levels, we propose the sample path-wise optimal portfolio (SPOP), which is consistent with the back-test framework used in actualinvestment. It is proven th...
In this paper, we empirically verify the optimal portfolio schemes for the log-utility investor under incomplete information which converge to the optimal portfolio maximizing the expected log-utility under complete information. That is, our main interest lies in examining whether these schemes really attain the above desired properties, in the NYS...