Papers - Yamamoto, Rei

An Efficient Algorithm for Solving Convex-Convex Quadratic Fractional Programs

REI YAMAMOTO, KONNO HIROSHI

Journal of Optimization Theory and Applications 133   241 - 255 2007

Research paper (scientific journal), Joint Work, Accepted

Minimization of the Ratio of Functions Defined as Sums of the Absolute Values

HIROSHI KONNO, KENICHI TSUCHIYA, REI YAMAMOTO

Journal of Optimization Theory and Applications 135   399 - 410 2007

Research paper (scientific journal), Joint Work, Accepted

A Maximal Predictability Portfolio Model: Algorithm and Performance Evaluation

REI YAMAMOTO, HIROSHI KONNO

International Journal of Theoretical and Applied Finance 10   1095 - 1109 2007

Research paper (scientific journal), Joint Work, Accepted

Comparison of Search Strategies of Branch and Bound Algorithm for Concave Minimization Problems Under Linear Constraints

HIROSHI KONNO, KAZUO IZUMI, REI YAMAMOTO

Vietnam Journal of Mathematics 35   399 - 414 2007

Research paper (scientific journal), Joint Work, Accepted

整数計画法のポートフォリオ最適化への応用

YAMAMOTO REI

第19回RAMPシンポジウム論文集    61 - 74 2007

Research paper (conference, symposium, etc.), Single Work

平均・分散・歪度モデルの効率的解法と評価

YAMAMOTO REI

MTECジャーナル 18   63 - 79 2006

Research paper (bulletin of university, research institution), Joint Work

An Efficient Algorithm for Solving a Mean-Variance Model under Nonconvex Transaction Costs

REI YAMAMOTO, HIROSHI KONNO

Pacific Journal of Optimization 2   385 - 398 2006

Research paper (scientific journal), Joint Work, Accepted

Portfolio Optimization under Long-Short Constraints

HIROSHI KONNO, TOMOYUKI KOSHIZUKA, REI YAMAMOTO

Dynamics of Continuous Discrete and Impulsive Systems 12   483 - 498 2005

Research paper (scientific journal), Joint Work, Accepted

Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost

HIROSHI KONNO, KEISUKE AKISHINO, REI YAMAMOTO

Computational Optimization and Applications 32   115 - 132 2005

Research paper (scientific journal), Joint Work, Accepted

Global Optimization versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs

HIROSHI KONNO, REI YAMAMOTO

Journal of Global Optimization 32   207 - 219 2005

Research paper (scientific journal), Joint Work, Accepted

Integer Programming Approaches in Mean-Risk Models

HIROSHI KONNO, REI YAMAMOTO

Computational Management Science 4   339 - 351 2005

Research paper (scientific journal), Joint Work, Accepted

A Mean-Variance-Skewness Model: Algorithm and Applications

HIROSHI KONNO, REI YAMAMOTO

International Journal of Theoretical and Applied Finance 8   409 - 423 2005

Research paper (scientific journal), Joint Work, Accepted

取引手数料を考慮した平均・分散モデルの効率的解法

YAMAMOTO REI

MTECジャーナル 17   83 - 97 2005

Research paper (bulletin of university, research institution), Single Work

Minimal Concave Cost Rebalance of a Portfolio to the Efficient Frontier

HIROSHI KONNO, REI YAMAMOTO

Mathematical Programming, Ser. B. 97   571 - 585 2003

Research paper (scientific journal), Joint Work, Accepted