Hibiki, Norio

写真a

Affiliation

Faculty of Science and Technology, Department of Industrial and Systems Engineering (Yagami)

Position

Professor

External Links

Career 【 Display / hide

  • 1992.04
    -
    1997.03

    慶應義塾大学, 理工学部, 助手

  • 1997.04
    -
    2002.03

    慶應義塾大学, 理工学部, 専任講師

  • 1998.04
    -
    1999.03

    兼慶應義塾大学理工学部管理工学科 ,教室幹事

  • 1998.04
    -
    2000.03

    兼慶應義塾大学経済学部 ,兼担専任講師

  • 2002.04
    -
    2007.03

    慶應義塾大学, 理工学部, 助教授

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Academic Background 【 Display / hide

  • 1988.03

    Keio University, Faculty of Science and Engineering, 管理工学科

    University, Graduated

  • 1990.03

    Keio University, Graduate School, Division of Science and Engineeri, 管理工学専攻

    Graduate School, Completed, Master's course

  • 1994.09

    Keio University, Graduate School, Division of Science and Engineeri, 管理工学専攻

    Graduate School, Completed, Doctoral course

Academic Degrees 【 Display / hide

  • Doctor (Engineering), Keio University, Coursework, 1994.09

    財務リスクを管理するためのALMモデル ー 銀行のALM(資産負債管理)に対する数理計画法を用いたモデル・アプローチ

 

Books 【 Display / hide

  • モデリングの諸相:―OR と数理科学の交叉点―

    室田一雄・池上敦子・土谷 隆 編, 山下浩・蒲地政文・畔上秀幸・斉藤努・枇々木規雄・滝根哲哉・金森敬文 著, 近代科学社, 2016.09

    Scope: 第5章「金融工学とモデリング」

  • 金融工学入門(第2版)

    今野浩, 鈴木賢一, 枇々木規雄 共訳, 日本経済新聞出版社, 2015.03

  • 行動ファイナンスから読み解く個人向け投資サービスのあり方

    枇々木 規雄, 野村資本市場研究所, 2011

    Scope: 38-54

  • リスクの科学-金融と保険のモデル分析

    枇々木 規雄, 朝倉書店, 2007.11

    Scope: 1-31

  • ポートフォリオ最適化と数理計画法

    HIBIKI NORIO, TANABE TAKAHITO, 朝倉書店, 2005.08

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Papers 【 Display / hide

  • 資産配分モデルの実務への適用と投資信託の設計

    伊藤雅剛, 徐嘉文, 枇々木規雄

    オペレーションズ・リサーチ (日本オペレーションズ・リサーチ学会)  66   683 - 689 2021.10

    Research paper (scientific journal), Joint Work, Accepted

  • オプション価格情報を利用した資産価格変動要因の分解―米国株式市場における実証分析―

    霧生 拓也, 枇々木 規雄

    現代ファイナンス 43   27 - 48 2021.04

    Research paper (scientific journal), Joint Work, Accepted

  • 最適資産配分問題における収益率分布推定方法の比較

    霧生 拓也,枇々木裕太,枇々木 規雄

    ジャフィー・ジャーナル 19   1 - 26 2021.04

    Research paper (scientific journal), Joint Work, Accepted

  • Asset Allocation with Asset-class-based and Factor-based Risk Parity Approaches

    H. Kato and N. Hibiki

    Journal of the Operations Research Society of Japan 63 ( 4 ) 93 - 113 2020.10

    Research paper (scientific journal), Joint Work, Accepted,  ISSN  04534514

     View Summary

    The asset allocation strategy is important to manage assets effectively. In recent years, the risk parity strategy has become attractive to academics and practitioners. The risk parity strategy determines the allocation for asset classes in order to equalize their contributions to overall portfolio risk. Roncalli and Weisang (2016) propose the use of \risk factors" instead of asset classes. This approach achieves the portfolio diversification based on the decomposition of portfolio risk into risk factor contribution. The factor-based risk parity approach can diversify across the true sources of risk whereas the asset-class-based approach may lead to solutions with hidden risk concentration. However, it has some shortcomings. In our paper, we propose a methodology of constructing the well-balanced portfolio by the mixture of asset-classbased and factor-based risk parity approaches. We also propose the method of determining the weight of two approaches using the diversification index. We can construct the portfolio dynamically controlled with the weight which is adjusted in response to market environment. We examine the characteristics of the model through the numerical tests with seven global financial indices and three factors. We find it gives the well-balanced portfolio between asset and factor diversifications. We also implement the backtest from 2005 to 2018, and the performances are measured on a USD basis. We find our method decreases standard deviation of return and downside risk, and it has a higher Sharpe ratio than other portfolio strategies. These results show our new method has practical advantages.

  • 銀行口座の入出金情報に基づく個人の行動特性を考慮したカードローンのデフォルト分析とモデル化

    上武 治紀, 吉田 博哉, 枇々木 規雄

    日本統計学会誌 49 ( 2 ) 1 - 24 2020.03

    Research paper (scientific journal), Accepted

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Papers, etc., Registered in KOARA 【 Display / hide

Presentations 【 Display / hide

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Research Projects of Competitive Funds, etc. 【 Display / hide

  • グローバル株式運用のための包括的資産運用モデル確立に向けた研究

    2019.04
    -
    2022.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 山本 零, Grant-in-Aid for Scientific Research (C), Co-investigator

  • PRACTICAL ASSET MANAGEMENT MODEL FOR OPTIMAL REBALANCING STRATEGY

    2015.04
    -
    2018.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 枇々木 規雄, Grant-in-Aid for Scientific Research (C), Principal Investigator

  • MULTI-PERIOD OPTIMIZATION MODEL FOR HOUSEHOLD FINANCIAL PLANNING

    2009.04
    -
    2012.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 枇々木 規雄, Grant-in-Aid for Scientific Research (C), Research grant, Principal Investigator

  • 不動産ファイナンスの理論と応用

    2002.04
    -
    2005.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 森平 爽一郎, Grant-in-Aid for Scientific Research (A), Co-investigator

  • 下方リスクを考慮した資産負債管理に関する研究-数理計画モデルによるアプローチ-

    1996.04
    -
    1997.03

    MEXT,JSPS, Grant-in-Aid for Scientific Research, 枇々木 規雄, 奨励研究(A), Principal Investigator

Awards 【 Display / hide

  • 第10回日本オペレーションズ・リサーチ学会論文賞

    霧生拓也, 枇々木規雄, 2020.08, 日本オペレーションズ・リサーチ学会, Estimating forward looking distribution with the Ross recovery theorem

    Type of Award: Awards of National Conference, Council and Symposium

  • 第13回日本FP学会最優秀論文賞

    伊藤希, 枇々木規雄, 2018.09, 日本FP学会, 収入管理タイプが家計に及ぼす影響の分析とファイナンシャル・プランニングへの応用

    Type of Award: Awards of National Conference, Council and Symposium

  • The PBSS Colloquium at St. John’s 2016, The Best Scientific Paper Award

    HIBIKI NORIO, MASAAKI ONO, 2016.06, The Pensions, Benefits and Social Security Section of the International Actuarial Association, Simulation Analysis for Evaluating Risk-sharing Pension Plans

    Type of Award: International Academic Awards

  • 第6回日本FP協会奨励賞

    HIBIKI NORIO, 2011.09, 日本FP協会, 多期間最適資産形成モデルとFPツールの開発

    Type of Award: Awards of National Conference, Council and Symposium

  • 第6回日本FP学会奨励賞

    HIBIKI NORIO, 2011.09, 日本FP学会, 多期間最適資産形成モデルとFPツールの開発

    Type of Award: Awards of National Conference, Council and Symposium

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Courses Taught 【 Display / hide

  • SEMINAR IN ADMINISTRATION ENGINEERING

    2021

  • QUANTITATIVE APPROACHES TO BUSINESS DECISIONS

    2021

  • OPEN SYSTEMS MANAGEMENT: LECTURE AND EXERCISES

    2021

  • LABORATORIES IN ADMINISTRATION ENGINEERING (6)

    2021

  • INTRODUCTORY EXERCISES TO INDUSTRIAL AND SYSTEMS ENGINEERING 1

    2021

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Social Activities 【 Display / hide

  • 野村資本市場研究所「個人向け投資サービスと行動ファイナンス」を巡る研究会・委員

    2009.11
    -
    2011.05
  • 金融情報システムセンター「統合的リスク管理勉強会(第三部)」委員

    2000.07
    -
    2001.03
  • 金融監督庁「リスク管理モデルに関する研究会」

    1999.04
    -
    2000.03
  • 住宅金融公庫・ALM研究会

    1996.04
    -
    1998.03

Memberships in Academic Societies 【 Display / hide

  • APRIA(Asia-Pacific Risk and Insurance Association), 

    2013.05
    -
    Present
  • 日本FP学会, 

    2006.04
    -
    Present
  • 日本保険・年金リスク学会, 

    2003.11
    -
    Present
  • 日本統計学会, 

    2000.06
    -
    2007.03
  • 応用経済時系列研究会, 

    1999.06
    -
    Present

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Committee Experiences 【 Display / hide

  • 2020.04
    -
    Present

    副会長, 日本保険・年金リスク学会

  • 2018.05
    -
    Present

    表彰委員会委員, 日本オペレーションズ・リサーチ学会

  • 2018.04
    -
    Present

    理事, 日本FP学会

  • 2018.04
    -
    Present

    会員担当理事, 日本保険・年金リスク学会

  • 2017.07
    -
    Present

    代議員, 日本金融・証券計量・工学学会

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