Konno Hiroshi

Hiroshi Konno

Information about the author Hiroshi Konno will soon be added to the site.
Found 36 papers in total
Classification of companies using maximal margin ellipsoidal surfaces
Classification of companies using maximal margin ellipsoidal surfaces
2013
We recently proposed a data mining approach for classifying companies into several...
Construction of a portfolio with shorter downside tail and longer upside tail
Construction of a portfolio with shorter downside tail and longer upside tail
2011
The purpose of this paper is to propose an algorithm for solving Rachev ratio...
A maximal predictability portfolio using absolute deviation reformulation
A maximal predictability portfolio using absolute deviation reformulation
2010
This paper shows that a large-scale maximal predictability portfolio (MPP)...
Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems
Comparative studies on dynamic programming and integer programming approaches for concave cost production/inventory control problems
2009
This paper is concerned with classical concave cost multi-echelon production/inventory...
Studies on a general stock-bond integrated portfolio optimization model
Studies on a general stock-bond integrated portfolio optimization model
2007
The purpose of this paper is to extend a stock-bond integrated portfolio optimization...
Minimal concave cost rebalance of a portfolio to the efficient frontier
Minimal concave cost rebalance of a portfolio to the efficient frontier
2003
One usually constructs a portfolio on the efficient frontier, but it may not be...
Integer programming approaches in mean-risk models
Integer programming approaches in mean-risk models
2005
This paper is concerned with portfolio optimization problems with integer constraints....
Estimation of failure probability using semi-definite logit model
Estimation of failure probability using semi-definite logit model
2003
We will propose a new and practical method for estimating the failure probability of a...
Credit cards scoring with quadratic utility functions
Credit cards scoring with quadratic utility functions
2002
The paper considers a general approach for classifying objects using mathematical...
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities
2006
In this paper, we will propose algorithms for calculating a minimal ellipsoid...
Optimization of a long–short portfolio under nonconvex transaction cost
Optimization of a long–short portfolio under nonconvex transaction cost
2005
The purpose of this paper is to propose a practical branch and bound algorithm for...
Optimization of polynomial fractional functions
Optimization of polynomial fractional functions
2004
A new approach is proposed for optimizing a polynomial fractional function under...
Estimation of failure probability using semi-definite programming
Estimation of failure probability using semi-definite programming
2002
Linear logit model is often used to predict the probability of bankruptcy. However,...
Bounding option prices by semidefinite programming: A cutting plane algorithm
Bounding option prices by semidefinite programming: A cutting plane algorithm
2002
In a recent article, Bertsimas and Popescu showed that a tight upper bound on a...
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
2001
We will propose a branch and bound algorithm for calculating a globally optimal...
Third degree stochastic dominance and mean-risk analysis
Third degree stochastic dominance and mean-risk analysis
2000
In their recent article, Ogryczak and Ruszczyński proved that those portfolios...
Mean-absolute deviation portfolio optimization model under transaction costs
Mean-absolute deviation portfolio optimization model under transaction costs
1999
We will propose a branch and bound algorithm for solving a portfolio optimization...
A deterministic approach to linear programs with several additional multiplicative constraints
A deterministic approach to linear programs with several additional multiplicative constraints
1999
We consider a global optimization problem of minimizing a linear function subject to p...
Minimizing sums and products of linear fractional functions over a polytope
Minimizing sums and products of linear fractional functions over a polytope
1999
In this paper, we develop efficient deterministic algorithms for globally minimizing...
A branch and bound algorithm for solving mean–risk–skewness portfolio models
A branch and bound algorithm for solving mean–risk–skewness portfolio models
1998
This paper discusses an efficient algorithm for solving the mean–absolute...
The relation between investor's greediness and the asset price in the mean-variance market
The relation between investor's greediness and the asset price in the mean-variance market
1997
We will discuss the role of investor's ‘greediness’, i.e. the investor's...
On the degree and separability of nonconvexity and applications to optimization problems
On the degree and separability of nonconvexity and applications to optimization problems
1997
We study qualitative indications for d.c. representations of closed sets in and...
Convex programs with an additional constraint on the product of several convex functions
Convex programs with an additional constraint on the product of several convex functions
1994
In this paper, we consider a special type of global optimization problem in which a...
Bond portfolio optimization problems and their applications to index tracking: A partial optimization approach
Bond portfolio optimization problems and their applications to index tracking: A partial optimization approach
1996
The authors will discuss exact and efficient parametric simplex algorithms for solving...
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