Papers - Yamamoto, Rei
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Interaction between Financial Risk Measures and Machine Learning Methods
JUN-YA GOTOH, AKIKO TAKEDA, REI YAMAMOTO
Computational Management Science 11 ( 4 ) 365 - 402 2014
Research paper (scientific journal), Accepted
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Optimal Symmetric No-trade Ranges in Asset Rebalancing Strategy with Transaction Costs -An Application to the Government Pension Investment Fund in Japan
NORIO HIBIKI, REI YAMAMOTO
Asia-Pacific Journal of Risk and Insurance 8 ( 2 ) 293 - 327 2014
Research paper (scientific journal), Joint Work, Accepted
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Rebalance Schedule Optimization of a Large Scale Portfolio under Transaction Cost
REI YAMAMOTO, HIROSHI KONNO
Journal of the Operations Research Society of Japan 56 ( 1 ) 26 - 37 2013
Research paper (scientific journal), Joint Work, Accepted
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CVaR最小化と信用リスク判別モデル
YAMAMOTO REI
MTECジャーナル 24 29 - 46 2012
Research paper (bulletin of university, research institution), Joint Work
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Portfolio Optimization Under Transfer Coefficient Constraint
REI YAMAMOTO, TAKUYA ISHIBASHI, HIROSHI KONNO
Journal of Asset Management 13 51 - 57 2012
Research paper (scientific journal), Joint Work, Accepted
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公的年金の負債特性を考慮した積立金運用について-実質的な運用利回りの確保と効率的な資金運用の考察-
YAMAMOTO REI
年金と経済 30 ( 1 ) 40 - 48 2011
Research paper (bulletin of university, research institution), Joint Work
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Construction of a Portfolio with Shorter Downside Tail and Longer Upside Tail
HIROSHI KONNO, KATSUHIRO TANAKA, REI YAMAMOTO
Computational Optimization and Applications 48 199 - 212 2011
Research paper (scientific journal), Joint Work, Accepted
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不確実性下での資産運用-ロバストポートフォリオ最適化の活用-
YAMAMOTO REI
ファイナンシャル・プランニング研究 10 71 - 79 2011
Research paper (scientific journal), Joint Work, Accepted
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数理計画法を用いた投資指標の合成方法の検討
YAMAMOTO REI
MTECジャーナル 22 107 - 121 2010
Research paper (bulletin of university, research institution), Single Work
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A Maximal Predictability Portfolio Using Absolute Deviation Reformulation
HIROSHI KONNO, YUUHEI MORITA, REI YAMAMOTO
Computational Management Science 7 47 - 60 2010
Research paper (scientific journal), Joint Work, Accepted
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A Maximal Predictability Portfolio using Dynamic Factor Selection Strategy
HIROSHI KONNO, YOSHIHIRO TAKAYA, REI YAMAMOTO
International Journal of Theoretical and Applied Finance 13 355 - 366 2010
Research paper (scientific journal), Joint Work, Accepted
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ロバストポートフォリオ最適化の活用-公的年金運用の基本ポートフォリオ構築への応用例-
YAMAMOTO REI
証券アナリストジャーナル 48 ( 7 ) 64 - 75 2010
Research paper (scientific journal), Joint Work, Accepted
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新興国株式市場における割安株投資の有効性検証
YAMAMOTO REI
証券アナリストジャーナル 48 ( 9 ) 38 - 49 2010
Research paper (scientific journal), Joint Work, Accepted
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Index-plus-Alpha Tracking Subject to Correlation Constraint
TOMOYUKI KOSHIZUKA, HIROSHI KONNO, REI YAMAMOTO
International Journal of Optimization: Theory, Methods and Applications 1 215 - 224 2009
Research paper (scientific journal), Joint Work, Accepted
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Comparative Studies on Dynamic Programming and Integer Programming Approaches for Concave Cost Production/Inventory Control Problems
HIROSHI KONNO, TAKAAKI EGAWA, REI YAMAMOTO
Computational Management Science 6 447 - 457 2009
Research paper (scientific journal), Joint Work, Accepted
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Choosing the Best Set of Variables in Regression Analysis using Integer Programming
HIROSHI KONNO, REI YAMAMOTO
Journal of Global Optimization 44 273 - 282 2009
Research paper (scientific journal), Joint Work, Accepted
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投資信託を用いた個人投資家の資産運用モデル
YAMAMOTO REI
ファイナンシャル・プランニング研究 8 22 - 31 2009
Research paper (scientific journal), Single Work, Accepted
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公的年金運用における基本ポートフォリオ策定プロセスの再考について-多期間最適化モデルの活用-
YAMAMOTO REI
証券アナリストジャーナル 47 ( 8 ) 65 - 77 2009
Research paper (scientific journal), Joint Work, Accepted
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Solving Nonconvex Portfolio Optimization Problems using Global Optimization Algorithms
REI YAMAMOTO
中央大学博士論文 (中央大学大学院理工学研究科) 2007.03
Doctoral thesis, Single Work
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Maximal Predictability Portfolioの構築と評価
YAMAMOTO REI
MTECジャーナル 19 91 - 108 2007
Research paper (bulletin of university, research institution), Joint Work