Yamamoto Rei

Rei Yamamoto

Information about the author Rei Yamamoto will soon be added to the site.
Found 5 papers in total
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...
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....
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...
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