Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs

We study the constant rebalancing strategy for multi-period portfolio optimization via conditional value-at-risk (CVaR) when there are nonlinear transaction costs. This problem is difficult to solve because of its nonconvexity. The nonlinear transaction costs and CVaR constraints make things worse; state-of-the-art nonlinear programming (NLP) solvers have trouble in reaching even locally optimal solutions. As a practical solution, we develop a local search algorithm in which linear approximation problems and nonlinear equations are iteratively solved. Computational results are presented, showing that the algorithm attains a good solution in a practical time. It is better than the revised version of an existing global optimization. We also assess the performance of the constant rebalancing strategy in comparison with the buy-and-hold strategy.     

A Conjoint Analysis of a Next Generation Network (NGN) in Japan

A conjoint analysis on a Web survey in 2010 with 160 participants and 8 questions shows that a Marginal Willingness To Pay (MWTP) on a Next Generation Network (NGN) of Flet’s Hikari Next is lower than its actual price as provided by NTT East. Conjoint analysis is one application of conditional logit. MWTP is WTP when one unit of property is increased, and MWTP is used to verify how much each person evaluates each property. Higher transmission speed, digital TV availability, and higher Internet security affect the MWTP positively, and the amount of the monthly payment of NGN affects the MWTP negatively. Therefore, it is assumed that the NGN of Flet’s Hikari Next by NTT East will be accepted by potential customers and diffused as a major communications service of NTT East and NTT West. NGN providers may be able to maximize their benefits by adjusting the NGN of Flet’s Hikari Next property to meet customer demands, especially in digital TV availability, higher transmission speed, and communications security.     

A Conjoint Analysis of Demand for the Japanese Mobile Phone Market

The Japanese mobile phone market is 55.8% of the total market in the telecommunications industry. This paper is a conjoint analysis on Japanese consumer preferences for Japanese mobile phones. The analysis in this paper is presented after a questionnaire survey was given to 3,412 Japanese mobile phone users over 15 years old. The results of this analysis show that a decline in the price of mobile phone sets, an increase in transmission speed, the application of family discounts, and the continuation of contracts with the same telecommunication companies, all raise demand for mobile networks. In addition, the author found that user groups of NTT DOCOMO, au (KDDI), Softbank, and MVNO have different utility functions. According to the estimation of Mean Willingness to Pay (MWTP) in this paper, suppliers of mobile phone networks may be able to optimize and maximize demand by adjusting attributions and their levels.     

Information Content of Internal Control Weaknesses: The Evidence from Japan

This paper investigates how capital markets in a code-law country, Japan, react to the disclosure of internal control weaknesses (ICW). The Japanese government attempted to implement a more concise, efficient, and, thus, less strict internal control reporting system than Section 404 of the US-SOX. In fact, for the first two years, the disclosure rate of ICW has been much lower in Japan than in the U.S. While market reactions to the disclosure of ICW are not significantly different from zero in our event study analysis, they become significantly negative after controlling for other information released around the disclosure date, audit quality, and other firm attributes. Our results are consistent with the notion that the disclosure of ICW is informative to the market because it is less frequent and exceptional in Japan.