著者

森谷 博之

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

vol.34, pp.77-105, 2019-02-28

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Strong computation power and the age of big data have enabled us to apply artificial intelligence, machine learning and genetic algorithms to financial markets. In the 1950’s, Harry Markowitz invented the portfolio optimization technique that changed the concept of investment opportunities from highest return, ignoring risk, to the balance between risk and rewards. However, this innovative idea has presented many obstacles. But, over the years innovative people have been inventing mathematical solutions for these various constraints. Even though this has been challenging historically, practitioners prefer the simple heuristic methods based on their experience due to difficulty to estimate expected returns and volatility. Finally, new solution is developed and called a Risk Parity policy and enhanced version, Hierarchical Risk Parity introduced by de Prado in 2016.This paper first introduces the history of Modern Portfolio Theory and Risk Parity portfolio and then explains how to develop hierarchical risk parity. In conclusion, a hedge fund portfolio is constructed by using hierarchical risk parity to compare the results with those of an equally weighted portfolio and a minimum variance portfolio.

著者

瀬田 元吾

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.34, pp.127-153, 2019-02-28

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A quarter of a century has passed since the J-League, a professional football league, was established in Japan and Japanese football has continuing to grow, yet many professional football players have a big difficulties with "second career" after they retire as active players. That is not only an issue in Japan, and it is also a problem of the football world. It is very important to pre-consider future possibilities and which kind of educational environment one should prepare for prior to starting a professional career. After the disastrous result of the European Championship in 2000, the German football association (DFB) had established a new scheme, which cooperates professional football clubs and the elite schools approved by DFB, to discover and develop new talents. It was a huge revolution for German football, and it shows a significant improvement. This could be a very helpful reference for the Japanese football world. Author deliberates on how to advance the school education at the state of "zero carrier", before starting a "first career" as a football professional player in Japan.

著者

瀬田 元吾

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.30, pp.157-177, 2017-02-27

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Why do some Japanese Professional Football Clubs have sometime insufficient support from local community? Bundesliga is a Professional Football League in Germany, it has the largest number of spectators in the world and it's rooted football culture in Germany. For every Japanese Football Club, it's important to aim for a community-based club.The purpose of this study is establishing the principles to be a community-based club for all Professional Japanese Clubs. We are listed in the case of Fortuna Düsseldorf, which is a professional Football Club from Germany, considered the relationship between the club and the community.The results indicated that identity to the club of local residents is brought up from the sense of belonging to the city. And in the German Football Club exist active members and passive members, who are equality. In Japan it has made the community around the school in each region from the old days. We can't replace the concept of the German football culture, but the author suggests that we can take an advantage of this, leading to the conclusion that it's the key to create a "community-based club" in Japan.

著者

御船 洋

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.34, pp.1-23, 2019-02-28

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One of the problems that the overseas operating companies face is the burden of social insurance premiums. Especially, the problem of the double load of the social insurance premiums is important. Employees who are dispatched from a company to work overseas must be enrolled in the social insurance system of the other country and bear the social insurance premiums.In other words, dispatched employees must pay social insurance premiums in both their own countries and their counterparts.The social security agreement can solve this problem. When a social security agreement is concluded, dispatched employees are not required to join the social insurance system (particularly the public pension system) of the other country during their stay in the other country, and the double burden of public pension premiums will be avoided.The purpose of this paper is to estimate how much the social insurance premiums could be saved by Japanese companies in Netherlands (as of October 2016, 483 companies) by concluding a social security agreement between Japan and Netherlands. The results of the estimates are as follows. In 2016, Japanese companies in Netherlands had reduced their public pension premiums by about 2.62 billion yen. Japan and Netherlands have also concludedagreements on public health insurance and employment insurance. A similar estimate was made about these premiums, and the amount of public health insurance premiums was reduced by approximately 730 million yen, and the amount of employment insurance premiums was estimated at 260 million yen.

著者

建部 正義

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.32, pp.201-221, 2018-02-28

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Nathaniel Popper leaves in DIGITAL GOLD the following passage. But the week in Austin could not help fueling suspicion that perhaps, as in the old way of doing things, the economic benefits of all the new technology were, at least so far, accruing only a small elite, while the 99 percent that Occupy Wall Street had worried about were left reading about it at home on Twitter. Bitcoin itself faced the same concerns. Years earlier, Bitcoin had promised that it would spread its benefits to all its users, but by 2014 large chunks of Bitcoin economy were owned by a few people who had been wealthy enough before Bitcoin came along to invest in this new system. Most of the new coins being released each day were collected by a few large mining syndicates. If this was the new world, it did not seem all that different from the old one-at least not yet. This is reality of Bitcoin. It does not have stability of supply. It does not have ability of credit creation. It does not have stability of value. It does not have wide agreement as a means of settlements. It exposes itself to speculation. So in conclusion, Bitcoin could not be money at least in the near future.

著者

建部 正義

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.32, pp.201-221, 2017

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Nathaniel Popper leaves in DIGITAL GOLD the following passage. But the week in Austin could not help fueling suspicion that perhaps, as in the old way of doing things, the economic benefits of all the new technology were, at least so far, accruing only a small elite, while the 99 percent that Occupy Wall Street had worried about were left reading about it at home on Twitter. Bitcoin itself faced the same concerns. Years earlier, Bitcoin had promised that it would spread its benefits to all its users, but by 2014 large chunks of Bitcoin economy were owned by a few people who had been wealthy enough before Bitcoin came along to invest in this new system. Most of the new coins being released each day were collected by a few large mining syndicates. If this was the new world, it did not seem all that different from the old one-at least not yet. This is reality of Bitcoin. It does not have stability of supply. It does not have ability of credit creation. It does not have stability of value. It does not have wide agreement as a means of settlements. It exposes itself to speculation. So in conclusion, Bitcoin could not be money at least in the near future.

著者

梁 峻豪

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.第33号, pp.121-142, 2018-08-31

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The U.S. CDFI is financially supported by not only CDFI Fund that is an organization of federal government but also commercial bank’s reinvestment to CDFI due to ‘Community Reinvestment Act. (CRA).’ This facts mean that the U.S. CDFI is controlled by not only ‘national adjustment’ but also ‘civil adjustment’. In addition, because the U.S. CDFI is a citizen-led organization, the participation and monitoring of local citizen is institutionalized in the all fields of the management of CDFI. According to this fact, we can find ‘citizen-led’ local finance for regional development. And, CMF (Capital Magnet Fund) program that the U.S. CDFI has been supplying all concerned of local society with for the community development has been working as an intermediation for House constructions and urban renewals is so public that these are for the poor and the poor region. So, CMF can be providing the poor with house in time according to their demand, and can be changing the disgusting region into the public spaces for social inclusion. In conclusion, the U.S. CDFI has not been focusing on the profitability that is commercial bank’s purpose, has been focusing on the urban renewal and community development for solving the social problems like poverty, environment, human rights, and health. By this, the U.S. CDFI has been matching ‘finance’ with civil demand. On this account, the U.S. CDFI can secure strong social support from local citizen. This is clearly the most important factor in the U.S. CDFI’s commercial success.

著者

関口 定一

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.5, pp.37-77, 2004

著者

姜 京守

出版者

中央大学企業研究所

雑誌

企業研究 (ISSN:13479938)

巻号頁・発行日

no.6, pp.215-239, 2004