Rei Yamamoto

Available identifiers

zbMath Open yamamoto.reiMaRDI QIDQ535299

List of research outcomes

Publication	Date of Publication	Type
Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation	2023-12-14	Paper
https://portal.mardi4nfdi.de/entity/Q5012304	2021-08-31	Paper
OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS	2017-12-11	Paper
Interaction between financial risk measures and machine learning methods	2015-07-21	Paper
REBALANCE SCHEDULE OPTIMIZATION OF A LARGE SCALE PORTFOLIO UNDER TRANSACTION COST	2014-03-19	Paper
Construction of a portfolio with shorter downside tail and longer upside tail	2011-05-11	Paper
https://portal.mardi4nfdi.de/entity/Q5393513	2011-04-18	Paper
A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY	2010-08-11	Paper
A maximal predictability portfolio using absolute deviation reformulation	2010-01-26	Paper
Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems	2009-11-02	Paper
Choosing the best set of variables in regression analysis using integer programming	2009-09-01	Paper
An efficient algorithm for solving convex-convex quadratic fractional programs	2008-09-23	Paper
Comparison of search strategies of branch and bound algorithm for concave minimization problems under linear constraints	2008-07-29	Paper
A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION	2008-05-20	Paper
https://portal.mardi4nfdi.de/entity/Q5488958	2006-09-25	Paper
Integer programming approaches in mean-risk models	2006-06-12	Paper
https://portal.mardi4nfdi.de/entity/Q3371137	2006-02-21	Paper
Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs	2005-12-13	Paper
Optimization of a long-short portfolio under nonconvex transaction cost	2005-11-16	Paper
A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS	2005-08-03	Paper
Minimal concave cost rebalance of a portfolio to the efficient frontier	2003-09-01	Paper

Research outcomes over time

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