Rei Yamamoto

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation Computational Management Science	2023-12-14	Paper
Analysis of forest kinematic model with nonlinear degenerate diffusion	2021-08-31	Paper
OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS Journal of the Operations Research Society of Japan	2017-12-11	Paper
Interaction between financial risk measures and machine learning methods Computational Management Science	2015-07-21	Paper
Rebalance schedule optimization of a large scale portfolio under transaction cost Journal of the Operations Research Society of Japan	2014-03-19	Paper
Construction of a portfolio with shorter downside tail and longer upside tail Computational Optimization and Applications	2011-05-11	Paper
scientific article; zbMATH DE number 5879523 (Why is no real title available?)	2011-04-18	Paper
A maximal predictability portfolio using dynamic factor selection strategy International Journal of Theoretical and Applied Finance	2010-08-11	Paper
A maximal predictability portfolio using absolute deviation reformulation Computational Management Science	2010-01-26	Paper
Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems Computational Management Science	2009-11-02	Paper
Choosing the best set of variables in regression analysis using integer programming Journal of Global Optimization	2009-09-01	Paper
An efficient algorithm for solving convex-convex quadratic fractional programs Journal of Optimization Theory and Applications	2008-09-23	Paper
Comparison of search strategies of branch and bound algorithm for concave minimization problems under linear constraints Vietnam Journal of Mathematics	2008-07-29	Paper
A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION International Journal of Theoretical and Applied Finance	2008-05-20	Paper
scientific article; zbMATH DE number 5056705 (Why is no real title available?)	2006-09-25	Paper
Integer programming approaches in mean-risk models Computational Management Science	2006-06-12	Paper
Portfolio optimization under long-short constraints	2006-02-21	Paper
Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs Journal of Global Optimization	2005-12-13	Paper
Optimization of a long-short portfolio under nonconvex transaction cost Computational Optimization and Applications	2005-11-16	Paper
A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS International Journal of Theoretical and Applied Finance	2005-08-03	Paper
Minimal concave cost rebalance of a portfolio to the efficient frontier Mathematical Programming. Series A. Series B	2003-09-01	Paper

Research outcomes over time

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