Kikuchi Kentaro 菊池健太郎

Researcher Number	60738368
Other IDs
Affiliation (Current)	2025: 滋賀大学, 経済学系, 准教授
Affiliation (based on the past Project Information) *help	2025: 滋賀大学, 経済学系, 准教授 2022 – 2023: 滋賀大学, 経済学系, 准教授 2015 – 2021: 滋賀大学, 経済学部, 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / Money/ Finance Except Principal Investigator Money/ Finance
Keywords	Principal Investigator リスクプレミアム / 量的緩和政策 / 金利期間構造モデル / 無裁定価格理論 / 国際証券投資 / 国際連動性 / グローバルファクター / 株式利回りの期間構造 / 国際証券価格モデル / 2次ガウシアン金利期間構造モデル … More / 金融政策 / 金融工学 / 非伝統的金融政策 / ゼロクーポン金利 / ブラウン橋過程 / 下限金利 / 正金利モデル / マイナス金利 / 配当割引モデル … More Except Principal Investigator 金融オプションモデル / 溶存酸素量 / 全循環 / 社会実装 / 全循環停止 / 閾値 / 関西広域連合 / リスクファイナンス / デリィバティブ / CATボンド / 琵琶湖の全循環停止 / インデックス型デリィバティブ / 全循環と部分循環 / モンテカルロシミュレーション / 溶存酸素量モデル / インデックス型デリバティブ / 琵琶湖の全循環 / 環境リスクファイナンス Less

無裁定資産価格理論に基づく債券・株式のリスクプレミアムの期間構造解析Principal Investigator
- Principal Investigator
  
  菊池健太郎
- Project Period (FY)
  2025 – 2028
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Shiga University
Global factor extraction and risk analysis based on a no-arbitrage international securities pricing modelPrincipal Investigator
- Principal Investigator
  
  Kikuchi Kentaro
- Project Period (FY)
  2020 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Shiga University
Proposal of "environmental risk finance" in which local governments procure environmental measures funds directly from financial markets
- Principal Investigator
  
  KUBO Hideya
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Rikkyo University
  Shiga University
Construction and application of an interest rate term structure model suitable for a negative yield curve environmentPrincipal Investigator
- Principal Investigator
  
  Kikuchi Kentaro
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Money/ Finance
- Research Institution
  Shiga University
Simultaneous estimates of stock and bond risk premiums based on a no-arbitrage pricing modelPrincipal Investigator
- Principal Investigator
  
  Kikuchi Kentaro
- Project Period (FY)
  2015 – 2016
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Shiga University

All 2024 2023 2022 2020 2019 2018 2017 2016 2015

All Journal Article Presentation Book

[Book] リスク学事典2019
- Author(s)
  久保英也（兼編集委員長）、浅見真理、李泰榮、伊藤哲郎、植村信保、臼田裕一郎、甲斐良隆、神田玲子、菊池健太郎、岸本充生、北野大、鬼頭弥生、久保田泉、酒井義弘、佐々木良一、島田陽子、下山憲治、城山英明、関澤純、竹田宜人、近本一彦、津田博史、土田昭司、東海明宏、永井孝志、中島精也、中村亮一、奈良由美子、全160名
- Total Pages
  804
- Publisher
  丸善出版
- ISBN
  9784621303818
- Data Source
  KAKENHI-PROJECT-17K03801
[Journal Article] Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns2024
- Author(s)
  Kentaro Kikuchi, Koji Kusuda
- Journal Title
  
  Research Square
  
  Volume: -
- DOI
  10.21203/rs.3.rs-3852037/v1
- Open Access
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] A term structure interest rate model with the Brownian bridge lower bound2024
- Author(s)
  Kentaro Kikuchi
- Journal Title
  
  Annals of Finance
  
  Volume: - Issue: 3 Pages: 301-328
- DOI
  10.1007/s10436-024-00439-4
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] Age-dependent robust strategic asset allocation with inflation-deflation hedging demand2024
- Author(s)
  Kentaro Kikuchi, Koji Kusuda
- Journal Title
  
  Research Square
  
  Volume: -
- DOI
  10.21203/rs.3.rs-3137185/v2
- Open Access
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks2023
- Author(s)
  Batbold Bolorsuvd, Kentaro Kikuchi, Koji Kusuda
- Journal Title
  
  Research Square
  
  Volume: -
- DOI
  10.21203/rs.3.rs-3425645/v1
- Open Access
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] A linear approximate robust strategic asset allocation with inflation-deflation hedging demand2023
- Author(s)
  Kentaro Kikuchi, Koji Kusuda
- Journal Title
  
  Discussion Paper Series, Shiga University
  
  Volume: E21 Pages: 1-31
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk2022
- Author(s)
  Batbold Bolorsuvd、Kikuchi Kentaro、Kusuda Koji
- Journal Title
  
  Mathematics and Financial Economics
  
  Volume: - Issue: 3 Pages: 509-537
- DOI
  10.1007/s11579-022-00316-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K01768
[Journal Article] A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy2020
- Author(s)
  Kentaro Kikuchi
- Journal Title
  
  CRR Discussion Paper Series, Shiga University
  
  Volume: B19 Pages: 1-14
- Data Source
  KAKENHI-PROJECT-17K03802
[Journal Article] 自然環境保護に資する環境リスクファイナンスの提案2020
- Author(s)
  久保英也、菊池健太郎、北澤大輔
- Journal Title
  
  損害保険研究
  
  Volume: 81 Pages: 107-131
- Data Source
  KAKENHI-PROJECT-17K03801
[Journal Article] A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach2019
- Author(s)
  Kentaro Kikuchi
- Journal Title
  
  CRR Discussion Paper Series, Shiga University
  
  Volume: B18 Pages: 1-15
- Data Source
  KAKENHI-PROJECT-17K03802
[Journal Article] 気候変動と琵琶湖全循環停止リスク2019
- Author(s)
  菊池健太郎、久保英也
- Journal Title
  
  日本リスク研究学年次大会予稿集
  
  Volume: 31 Pages: 92-97
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03801
[Journal Article] ブラウン橋過程を用いた金利期間構造モデル2019
- Author(s)
  菊池健太郎
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 2106 Pages: 23-32
- Data Source
  KAKENHI-PROJECT-17K03802
[Journal Article] Numerical simulation of overturn in Lake Biwa and its relation to climate change2018
- Author(s)
  吉田毅郎, 北澤大輔, 周金, 朴相圭, 久保英也, 菊池健太郎, 吉山浩平
- Journal Title
  
  SEISAN KENKYU
  
  Volume: 70 Issue: 1 Pages: 25-28
- DOI
  10.11188/seisankenkyu.70.25
- NAID
  130006322032
- ISSN
  0037-105X, 1881-2058
- Language
  English
- Open Access
- Data Source
  KAKENHI-PROJECT-17K03801
[Journal Article] Estimating US Equity and Bond Risk Premiums using a Quadratic Gaussian Joint Pricing Model2017
- Author(s)
  Kentaro Kikuchi
- Journal Title
  
  Proceedings of the 11th Asia-Pacific Conference on Global Business, Economics, Finance and Business Management
  
  Volume: -
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-15K17090
[Journal Article] Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis2016
- Author(s)
  Kentaro Kikuchi
- Journal Title
  
  Recent Advances in Financial Engineering 2014, Proceedings of the TMU Finance Workshop 2014, World Scientific
  
  Volume: 1 Pages: 107-131
- DOI
  10.1142/9789814730778_0006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] A multi-currency joint pricing model of stocks and bonds based on the quadratic Gaussian approach2024
- Author(s)
  菊池健太郎
- Organizer
  一橋大学金融研究会
- Data Source
  KAKENHI-PROJECT-20K01768
[Presentation] A multi-currency joint pricing model of stocks and bonds based on the quadratic Gaussian approach2024
- Author(s)
  菊池健太郎
- Organizer
  日本オペレーションズリサーチ学会2024年春季研究発表会
- Data Source
  KAKENHI-PROJECT-20K01768
[Presentation] A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy2019
- Author(s)
  Kentaro Kikuchi
- Organizer
  12th International Workshop on Stochastic Models and Control (SMC 2019)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] Estimating the Duration of the Quantitative Easing Policy using a Term Structure Model with a Stochastic Lower Bound2019
- Author(s)
  Kentaro Kikuchi
- Organizer
  Quantitative Methods in Finance 2019
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy2019
- Author(s)
  Kentaro Kikuchi
- Organizer
  International Conference on Computational Finance 2019
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] 気候変動と琵琶湖全循環停止リスク2018
- Author(s)
  菊池健太郎、久保英也
- Organizer
  日本リスク研究学会
- Data Source
  KAKENHI-PROJECT-17K03801
[Presentation] A Term Structure Interest Rate Model with the Exit Time from the Quantitative Easing Policy2018
- Author(s)
  Kentaro Kikuchi
- Organizer
  Quantitative Methods in Finance 2018 (QMF 2018)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] Estimating U.S. Equity and Bond Risk Premiums Using a Quadratic Gaussian Joint Pricing Model2017
- Author(s)
  Kentaro Kikuchi
- Organizer
  11th Asia-Pacific Conference on Global Business, Economics, Finance and Business Management
- Place of Presentation
  タイ、バンコク
- Year and Date
  2017-02-17
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] A Quadratic Joint Pricing Model of Stocks and Bonds in a Negative Interest Rate Environment2017
- Author(s)
  Kentaro Kikuchi
- Organizer
  International Conference on Computational Finance 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] ブラウン橋過程を用いた金利期間構造モデル2017
- Author(s)
  菊池健太郎
- Organizer
  ファイナンスの数理解析とその応用（京都大学数理解析研究所）
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] Estimating U.S. Equity and Bond Risk Premiums Using a Quadratic Gaussian Joint Pricing Model2017
- Author(s)
  Kentaro Kikuchi
- Organizer
  9th International Finance Conference, IFC9
- Place of Presentation
  フランス、パリ
- Year and Date
  2017-03-11
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] A Quadratic Joint Pricing Model of Stocks and Bonds in a Negative Interest Rate Environment2017
- Author(s)
  Kentaro Kikuchi
- Organizer
  Quantitative Methods in Finance 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03802
[Presentation] Risk Premium Estimation for U.S. Stocks and Bonds using a Quadratic Gaussian Joint Pricing Model2016
- Author(s)
  菊池健太郎
- Organizer
  日本オペレーションズリサーチ学会春季研究発表会
- Place of Presentation
  慶應義塾大学矢上キャンパス（神奈川県横浜市）
- Year and Date
  2016-03-17
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] Risk Premium Estimation for U.S. Stocks and Bonds using a Quadratic Gaussian Joint Pricing Model2016
- Author(s)
  Kentaro Kikuchi
- Organizer
  The Fourth Asian Quantitative Finance Conference
- Place of Presentation
  大阪大学中之島キャンパス（大阪市）
- Year and Date
  2016-02-21
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] Estimating the U.S. Equity and Bond Risk Premiums Using a Quadratic Gaussian Joint Pricing Model2015
- Author(s)
  菊池健太郎
- Organizer
  第43回夏季JAFEE大会
- Place of Presentation
  中央大学市ヶ谷田町キャンパス（東京都新宿区）
- Year and Date
  2015-08-07
- Data Source
  KAKENHI-PROJECT-15K17090
[Presentation] The U.S. Equity and Bond Risk Premiums in a Quadratic Gaussian Joint Pricing Model2015
- Author(s)
  Kentaro Kikuchi
- Organizer
  Quantitative Methods in Finance 2015
- Place of Presentation
  オーストラリア･シドニー
- Year and Date
  2015-12-16
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K17090

1. KUBO Hideya (10362815)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results

Kikuchi Kentaro 菊池 健太郎

Research Projects

Research Products

Co-Researchers

無裁定資産価格理論に基づく債券・株式のリスクプレミアムの期間構造解析Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Global factor extraction and risk analysis based on a no-arbitrage international securities pricing modelPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Proposal of "environmental risk finance" in which local governments procure environmental measures funds directly from financial markets

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Construction and application of an interest rate term structure model suitable for a negative yield curve environmentPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Simultaneous estimates of stock and bond risk premiums based on a no-arbitrage pricing modelPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] リスク学事典2019

Author(s)

Total Pages

Publisher

ISBN

Data Source

[Journal Article] Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A term structure interest rate model with the Brownian bridge lower bound2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Age-dependent robust strategic asset allocation with inflation-deflation hedging demand2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A linear approximate robust strategic asset allocation with inflation-deflation hedging demand2023

Author(s)

Journal Title

Data Source

[Journal Article] Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy2020

Author(s)

Journal Title

Data Source

[Journal Article] 自然環境保護に資する環境リスクファイナンスの提案2020

Author(s)

Journal Title

Data Source

[Journal Article] A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach2019

Author(s)

Journal Title

Kikuchi Kentaro 菊池健太郎