Published papers
Yamamoto, Rei
21-40 items (total 55)
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―
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 1 - End Page 26 (Publication Date）2014）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Optimal Symmetric No-trade Ranges in Asset Rebalancing Strategy with Transaction Costs -An Application to the Government Pension Investment Fund in Japan
- Author
- NORIO HIBIKI, REI YAMAMOTO
- Publication Title
- Magazine name Asia-Pacific Journal of Risk and Insurance Volume 8(Issue 2) Start Page 293 - End Page 327 (Publication Date）2014）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Interaction between Financial Risk Measures and Machine Learning Methods
- Author
- JUN-YA GOTOH, AKIKO TAKEDA, REI YAMAMOTO
- Publication Title
- Magazine name Computational Management Science Volume 11(Issue 4) Start Page 365 - End Page 402 (Publication Date）2014）
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Rebalance Schedule Optimization of a Large Scale Portfolio under Transaction Cost
- Author
- REI YAMAMOTO, HIROSHI KONNO
- Publication Title
- Magazine name Journal of the Operations Research Society of Japan Volume 56(Issue 1) Start Page 26 - End Page 37 (Publication Date）2013）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
CVaR最小化と信用リスク判別モデル
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 29 - End Page 46 (Publication Date）2012）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without
Portfolio Optimization Under Transfer Coefficient Constraint
- Author
- REI YAMAMOTO, TAKUYA ISHIBASHI, HIROSHI KONNO
- Publication Title
- Magazine name Journal of Asset Management Start Page 51 - End Page 57 (Publication Date）2012）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
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-
- Author
- YAMAMOTO REI
- Publication Title
- Volume 30(Issue 1) Start Page 40 - End Page 48 (Publication Date）2011）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without
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-
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 71 - End Page 79 (Publication Date）2011）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Construction of a Portfolio with Shorter Downside Tail and Longer Upside Tail
- Author
- HIROSHI KONNO, KATSUHIRO TANAKA, REI YAMAMOTO
- Publication Title
- Magazine name Computational Optimization and Applications Start Page 199 - End Page 212 (Publication Date）2011）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
数理計画法を用いた投資指標の合成方法の検討
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 107 - End Page 121 (Publication Date）2010）
- Authorship Category
- Single Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without
新興国株式市場における割安株投資の有効性検証
- Author
- YAMAMOTO REI
- Publication Title
- Volume 48(Issue 9) Start Page 38 - End Page 49 (Publication Date）2010）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
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-
- Author
- YAMAMOTO REI
- Publication Title
- Volume 48(Issue 7) Start Page 64 - End Page 75 (Publication Date）2010）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
A Maximal Predictability Portfolio using Dynamic Factor Selection Strategy
- Author
- HIROSHI KONNO, YOSHIHIRO TAKAYA, REI YAMAMOTO
- Publication Title
- Magazine name International Journal of Theoretical and Applied Finance Start Page 355 - End Page 366 (Publication Date）2010）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
A Maximal Predictability Portfolio Using Absolute Deviation Reformulation
- Author
- HIROSHI KONNO, YUUHEI MORITA, REI YAMAMOTO
- Publication Title
- Magazine name Computational Management Science Start Page 47 - End Page 60 (Publication Date）2010）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Index-plus-Alpha Tracking Subject to Correlation Constraint
- Author
- TOMOYUKI KOSHIZUKA, HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name International Journal of Optimization: Theory, Methods and Applications Start Page 215 - End Page 224 (Publication Date）2009）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
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-
- Author
- YAMAMOTO REI
- Publication Title
- Volume 47(Issue 8) Start Page 65 - End Page 77 (Publication Date）2009）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
投資信託を用いた個人投資家の資産運用モデル
- Author
- YAMAMOTO REI
- Publication Title
- Magazine name ファイナンシャル・プランニング研究 Start Page 22 - End Page 31 (Publication Date）2009）
- Authorship Category
- Single Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Choosing the Best Set of Variables in Regression Analysis using Integer Programming
- Author
- HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name Journal of Global Optimization Start Page 273 - End Page 282 (Publication Date）2009）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Comparative Studies on Dynamic Programming and Integer Programming Approaches for Concave Cost Production/Inventory Control Problems
- Author
- HIROSHI KONNO, TAKAAKI EGAWA, REI YAMAMOTO
- Publication Title
- Magazine name Computational Management Science Start Page 447 - End Page 457 (Publication Date）2009）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Maximal Predictability Portfolioの構築と評価
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 91 - End Page 108 (Publication Date）2007）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without