Portfolio Optimization under Lower Partial Risk Measures

Portfolio management using lower partial risk (downside risk) measures is attracting more attention of practitioners in recent years. The purpose of this paper is to review important characteristics of these riskmeasures and conduct simulation using four alternative measures, lower semi-variance, lower semi-absolute deviation, first order below targetrisk and conditional value-at-risk.We will show that these risk measures are useful to control downside risk whenthe distribution of assets is non-symmetric. Further, we will propose a computational scheme to resolve the difficultyassociated with solving a large dense linear programming problems resulting from these models. We will demonstrate that this method can in fact solve problems consisting of10⁴ assets and 10⁵ scenarios within a practical amount of CPU time.     

Japanese Rice Market Liberalization: A Competitive Equilibrium Approach

This paper quantifies the effect of Japanese rice imports on the Japanese rice market with special attention to the farmland market in the year 2000, based on information available in 1997. Tariff and quota policies do not affect the equilibrium price of rice and rent significantly, given the current acreage controls. The removal of the acreage control programme would reduce the autarky price of rice by 30%. With free importation of rice into Japan, the price of rice would be halved, and the potential increase in the consumer surplus could be 0.3% of the 1995 Japanese GDP.
JEL Classification Numbers: F14, Q17, Q18.     

CB – Time Dependent Markov Model for Pricing Convertible Bonds

In this paper, we propose what we call the convertible bond (CB) – timedependent Markov model, which prices N given individual convertible bondssimultaneously, and apply it to Japanese convertible bond data. One of themain features of the model is that it makes full use of the correlationstructure of convertible bond prices. The empirical results show that themodel well describes individual prices in the market.     

Globalization and Greater Flexibility in the Japanese Labor Market: Exploring the Macro–Micro Link

The author explores the missing links between globalization and greater flexibility in the Japanese labor market based on review of literature and available evidence. Understanding Japan’s responses to globalization requires a nuanced approach, which accounts for its historical trajectory and social-institutional context. Along with globalization, Japan is experiencing a greater infusion of foreign capital, and an increasing presence of foreign firms. These foreign firms bring human resource practices that are more market driven and less socially embedded compared to the status quo. The diverging human resources practices of foreign firms have spillover effects that may destabilize the Japanese employment system in the long run.     

EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET

We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of , the weighted average of the requested rate of return of individual investors, which tends to infinity as approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.     

The Regime Switching Portfolios

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 to the business cycle turning points. Finally, we conduct an asset allocation simulation and obtain reasonable results by introducing an idea of switching volatility targets.     

Firms' open innovation policies,laboratories' external collaborations,and laboratories' R&D performance

The value of the open innovation approach is now widely recognized, and the practice has been extensively researched, but still very little is known about the relative impact of firm‐level and laboratory‐level open innovation policies and practices on R&D performance. This study attempts to measure that impact by analyzing a sample of 203 laboratories of Japanese firms located in Japan. It examines simultaneously the effects of firm‐level open innovation policy and laboratory‐level external collaborations on laboratory R&D performance. The study aims to go beyond a general understanding of the importance of open innovation; it shows how an open innovation policy can have a positive and significant effect on collaborations between a laboratory and local universities or business organizations. The results also show how an open innovation policy can contribute to the laboratory's R&D performance by facilitating external collaborations by the laboratories. It demonstrates how these factors affect R&D performance in different ways, depending on the type of R&D tasks. Our findings suggest several theoretical and practical implications in the field of R&D management.