Papers - Yamamoto, Rei
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The Propagation of Labor Market Information Through Supply Chain Networks
Isogai, A. and Yamamoto, R.
Journal of Portfolio Management 50 ( 6 ) 223 - 235 2024
Research paper (scientific journal), Joint Work, Corresponding author, Accepted
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IPO企業における監査の質に関する実証分析
水上滉, 山本零
証券アナリストジャーナル 6 68 - 78 2024
Research paper (scientific journal), Joint Work, Corresponding author, Accepted
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Ellipsoidal Buffered AUC Maximization Model with Variable Selection in Credit Risk Estimation
Katsuhiro Tanaka, Rei Yamamoto
Computational Management Science 20 ( 18 ) 2023
Research paper (scientific journal), Joint Work, Accepted
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実務的制約を意識した深層強化学習ポートフォリオ最適化モデルの提案
吉田周平, 山本零
ジャフィー・ジャーナル 21 246 - 255 2023
Research paper (scientific journal), Joint Work, Corresponding author, Accepted
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銘柄数制約付き決定係数最大化ポートフォリオ構築問題の効率的解法
田中克弘, 山本零
Transactions of the Operations Research Society of Japan 66 1 - 22 2023
Research paper (scientific journal), Joint Work, Accepted
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A Bank-Account-Information-Based Credit Scoring Method with Bayesian Hierarchical Modeling
Suguru Yamanaka, Rei Yamamoto
International Journal of Financial Engineering 9 ( 1 ) 2022
Research paper (scientific journal), Joint Work, Accepted
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Managements Tone Strategies by Earnings Call Transcripts in the Global Markets
Rei Yamamoto, Naoya Kawadai, Masataka Kurita and Satoshi Baba
Journal of Asset Management 23 246 - 255 2022
Research paper (scientific journal), Joint Work, Accepted
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Identification of Best Discrimination Surface by Mixed-integer Semi-definite Programming for Support Vector Machine
Katsuhiro Tanaka, Rei Yamamoto
International Journal of Financial Engineering 9 ( 4 ) 2022
Research paper (scientific journal), Joint Work, Accepted
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An Efficient Equity Investing Model Using Smart Beta Based on Market Phase Information
Rei Yamamoto
International Journal of Portfolio Analysis and Management 2 ( 3 ) 224 - 237 2021
Research paper (scientific journal), Single Work, Accepted
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New Smart Beta Index Using the Rachev Ratio Under a Non-Normal Return Distribution
Rei Yamamoto, Naoya Kawadai
International Journal of Portfolio Analysis and Management 2 ( 3 ) 238 - 248 2021
Research paper (scientific journal), Joint Work, Accepted
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Momentum Information Propagation Through Global Supply Chain Networks
Rei Yamamoto, Naoya Kawadai and Hiroshi Miyahara
Journal of Portfolio Management 47 ( 8 ) 197 - 211 2021
Research paper (scientific journal), Joint Work, Accepted
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決算短信と四季報テキスト情報の投資戦略への利用可能性検証
山本零, 川代尚哉, 栗田昌孝
ジャフィー・ジャーナル 17 46 - 62 2020
Research paper (scientific journal), Joint Work, Accepted
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ベイズ推定を用いた利益ベースの構造型信用リスクモデルの改良
YAMAMOTO REI
ジャフィー・ジャーナル 17 1 - 14 2019
Research paper (scientific journal), Joint Work, Accepted
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株主総会における議決権行使の重要性について～取締役選任議案の実証分析～
淺田一成, 山本零
証券アナリストジャーナル 57 ( 11 ) 71 - 81 2019
Research paper (scientific journal), Joint Work, Accepted
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Optimal Multiple Pairs Trading Strategy using Derivative Free Optimization under Actual Investment Management Conditions
REI YAMAMOTO, NORIO HIBIKI
Journal of the Operations Research Society of Japan 60 ( 3 ) 244 - 261 2017
Research paper (scientific journal), Joint Work, Accepted
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企業の中期経営計画に関する特性及び株主価値との関連性について～中期経営計画データを用いた実証分析～
YAMAMOTO REI
証券アナリストジャーナル 54 ( 5 ) 67 - 78 2016
Research paper (scientific journal), Joint Work, Accepted
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Excess Comovement and Investor Attention in Japanese Stock Market
TOSHIFUMI TOKUNAGA, REI YAMAMOTO
武蔵大学論集 64 9 - 25 2016
Research paper (bulletin of university, research institution), Joint Work
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ファンド運営を意識した最適ペアトレード戦略-DFO手法を用いた問題設計-
YAMAMOTO REI
JAFEEジャーナル 14 202 - 233 2015
Research paper (scientific journal), Joint Work, Accepted
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ポートフォリオ理論における歪度管理の実践-歪度管理とダウンサイドリスク抑制型絶対値運用の関係-
YAMAMOTO REI
武蔵大学論集 63 41 - 49 2015
Research paper (bulletin of university, research institution), Single Work
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取引コストを考慮した最適資産配分問題―DFO手法を用いた最適乖離許容領域の決定―
YAMAMOTO REI
Transactions of the Operations Research Society of Japan 57 1 - 26 2014
Research paper (scientific journal), Joint Work, Accepted