Published papers
Yamamoto, Rei
41-55 items (total 55)
整数計画法のポートフォリオ最適化への応用
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 61 - End Page 74 (Publication Date）2007）
- Authorship Category
- Single Work
- Publication Category
- Research paper (conference, symposium, etc.)
- Peer-review Status
- Without
Comparison of Search Strategies of Branch and Bound Algorithm for Concave Minimization Problems Under Linear Constraints
- Author
- HIROSHI KONNO, KAZUO IZUMI, REI YAMAMOTO
- Publication Title
- Magazine name Vietnam Journal of Mathematics Start Page 399 - End Page 414 (Publication Date）2007）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
A Maximal Predictability Portfolio Model: Algorithm and Performance Evaluation
- Author
- REI YAMAMOTO, HIROSHI KONNO
- Publication Title
- Magazine name International Journal of Theoretical and Applied Finance Start Page 1095 - End Page 1109 (Publication Date）2007）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Minimization of the Ratio of Functions Defined as Sums of the Absolute Values
- Author
- HIROSHI KONNO, KENICHI TSUCHIYA, REI YAMAMOTO
- Publication Title
- Magazine name Journal of Optimization Theory and Applications Start Page 399 - End Page 410 (Publication Date）2007）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
An Efficient Algorithm for Solving Convex-Convex Quadratic Fractional Programs
- Author
- REI YAMAMOTO, KONNO HIROSHI
- Publication Title
- Magazine name Journal of Optimization Theory and Applications Start Page 241 - End Page 255 (Publication Date）2007）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Solving Nonconvex Portfolio Optimization Problems using Global Optimization Algorithms
- Author
- REI YAMAMOTO
- Publication Title
- Magazine name 中央大学博士論文 Publisher 中央大学大学院理工学研究科 (Publication Date）2007/03）
- Authorship Category
- Single Work
- Publication Category
- Doctoral thesis
- Peer-review Status
- Without
平均・分散・歪度モデルの効率的解法と評価
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 63 - End Page 79 (Publication Date）2006）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without
An Efficient Algorithm for Solving a Mean-Variance Model under Nonconvex Transaction Costs
- Author
- REI YAMAMOTO, HIROSHI KONNO
- Publication Title
- Magazine name Pacific Journal of Optimization Start Page 385 - End Page 398 (Publication Date）2006）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
取引手数料を考慮した平均・分散モデルの効率的解法
- Author
- YAMAMOTO REI
- Publication Title
- Start Page 83 - End Page 97 (Publication Date）2005）
- Authorship Category
- Single Work
- Publication Category
- Research paper (bulletin of university, research institution)
- Peer-review Status
- Without
A Mean-Variance-Skewness Model: Algorithm and Applications
- Author
- HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name International Journal of Theoretical and Applied Finance Start Page 409 - End Page 423 (Publication Date）2005）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Integer Programming Approaches in Mean-Risk Models
- Author
- HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name Computational Management Science Start Page 339 - End Page 351 (Publication Date）2005）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Global Optimization versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs
- Author
- HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name Journal of Global Optimization Start Page 207 - End Page 219 (Publication Date）2005）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost
- Author
- HIROSHI KONNO, KEISUKE AKISHINO, REI YAMAMOTO
- Publication Title
- Magazine name Computational Optimization and Applications Start Page 115 - End Page 132 (Publication Date）2005）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Portfolio Optimization under Long-Short Constraints
- Author
- HIROSHI KONNO, TOMOYUKI KOSHIZUKA, REI YAMAMOTO
- Publication Title
- Magazine name Dynamics of Continuous Discrete and Impulsive Systems Start Page 483 - End Page 498 (Publication Date）2005）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With
Minimal Concave Cost Rebalance of a Portfolio to the Efficient Frontier
- Author
- HIROSHI KONNO, REI YAMAMOTO
- Publication Title
- Magazine name Mathematical Programming, Ser. B. Start Page 571 - End Page 585 (Publication Date）2003）
- Authorship Category
- Joint Work
- Publication Category
- Research paper (scientific journal)
- Peer-review Status
- With