Details about Yuki Shigeta

Access statistics for papers by Yuki Shigeta.

Last updated 2023-02-11. Update your information in the RePEc Author Service.

Short-id: psh853

Working Papers

2022

1. A Continuous-Time Utility Maximization Problem with Borrowing Constraints in Macroeconomic Heterogeneous Agent Models:A Case of Regular Controls under Markov Chain Uncertainty
   Discussion papers, Graduate School of Economics , Kyoto University View citations (1)
2. Existence of Invariant Measure and Stationary Equilibrium in aContinuous-Time One-Asset Aiyagari Model:A Case of Regular Controls under Markov Chain Uncertainty
   Discussion papers, Graduate School of Economics , Kyoto University View citations (1)

2019

3. Gain/Loss Asymmetric Stochastic Differential Utility
   Discussion papers, Graduate School of Economics , Kyoto University
   See also Journal Article Gain/loss asymmetric stochastic differential utility, Journal of Economic Dynamics and Control, Elsevier (2020) (2020)

2016

4. An Irreversible Change of Correlations in the US Equities Market and Difficulties in Using the Information
   Discussion papers, Graduate School of Economics , Kyoto University
5. Optimal Switching under Ambiguity and Its Applications in Finance
   Papers, arXiv.org
   Also in Discussion papers, Graduate School of Economics , Kyoto University (2016)
6. Optimality of Naive Investment Strategies in Dynamic MeanVariance Optimization Problems with Multiple Priors
   Discussion papers, Graduate School of Economics , Kyoto University View citations (1)

2014

7. The change of correlation structure across industries:an analysis in the regime-switching framework
   Discussion papers, Graduate School of Economics Project Center, Kyoto University

Journal Articles

2022

1. Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions
   Journal of Economic Theory, 2022, 204, (C) View citations (2)

2020

2. Gain/loss asymmetric stochastic differential utility
   Journal of Economic Dynamics and Control, 2020, 118, (C)
   See also Working Paper Gain/Loss Asymmetric Stochastic Differential Utility, Discussion papers (2019) (2019)

2017

3. Portfolio selections under mean-variance preference with multiple priors for means and variances
   Annals of Finance, 2017, 13, (1), 97-124 View citations (1)