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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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