Details of a Researcher - Hibiki, Norio

Hibiki, Norio

写真a

Affiliation: Faculty of Science and Technology, Department of Administration Engineering （Yagami）

Position: Professor

External Links

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Career 【 Display / hide 】

1992.04

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1997.03

慶應義塾大学, 理工学部, 助手
1997.04

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2002.03

慶應義塾大学, 理工学部, 専任講師
1998.04

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1999.03

兼慶應義塾大学理工学部管理工学科 ,教室幹事
1998.04

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2000.03

兼慶應義塾大学経済学部 ,兼担専任講師
2002.04

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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

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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

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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 】

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
- Access to Document (DOI)
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 - 27 2021.04

Research paper (scientific journal), Joint Work, Accepted
- Access to Document (DOI)
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 （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.
- Access to Document (DOI)
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
Optimal asset allocation with risk-adjusted implied return distribution based on the recovery theorem

YUTA HIBIKI, TAKUYA KIRIU, HIBIKI NORIO

Proceedings of the 20th Asia Pacific Industrial Engineering & Management Systems Conference 2019.12

Research paper (international conference proceedings), Joint Work, Accepted

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

Practical asset management model for optimal rebalancing strategy

Hibiki, Norio

科学研究費補助金研究成果報告書 2017
Multi-period optimization model for household financial planning

Hibiki, Norio

科学研究費補助金研究成果報告書 2011

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Presentations 【 Display / hide 】

Deferred Public Pension and Longevity Risk for a Household in Retirement

Norio Hibiki and Masahiro Shibahara

IAA Sections Virtual Colloquium (Online) , 2020.05, International Actuarial Association
Effect of Firm Age in Credit Scoring Model for the Loans to the Self-employed

Norio Hibiki, Kenzo Ogi and Yuichi Utsumi

INFORMS International 2019 (Cancun) , 2019.06, Oral Presentation(general), INFORMS
Estimating Forward Looking Return Distribution with the Generalized Recovery Theorem

Takuya Kiriu, Masataka Itoh and Norio Hibiki

The 29th European Conference on Operational Research (Poznan) , 2018.07, Oral Presentation(general), The Association of European Operational Research Societies
Contingent Capital が銀行経営に与える影響の分析

大久保友博, 枇々木規雄

日本金融・証券計量・工学学会 2017年冬季大会 (武蔵大学) , 2018.03, Oral Presentation(general), 日本金融・証券計量・工学学会
Generalized Recovery Theorem を用いた収益率分布の推定方法－観測データを用いた先験情報の設定－

伊藤雅剛，霧生拓也, 枇々木規雄

日本金融・証券計量・工学学会 2017年冬季大会 (武蔵大学) , 2018.03, Oral Presentation(general), 日本金融・証券計量・工学学会

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

PRACTICAL ASSET MANAGEMENT MODEL FOR OPTIMAL REBALANCING STRATEGY

2015.04

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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

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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

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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

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1997.03

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

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Awards 【 Display / hide 】

第10回日本OR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