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Fingerprint Dive into the research topics where Norio Hibiki is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Optimization model Business & Economics
Model Mathematics
Hybrid model Business & Economics
Stochastic programming Business & Economics
Sensitivity analysis Business & Economics
Timing Mathematics
Asset allocation Business & Economics
Pairs trading Business & Economics

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Research Output 1998 2019

  • 66 Citations
  • 2 h-Index
  • 9 Article

Dynamic optimal execution models with transient market impact and downside risk

Ono, Y., Hibiki, N. & Sakurai, Y., 2019 Jan 1, In : Journal of Japan Industrial Management Association. 70, 2 E, p. 105-114 10 p.

Research output: Contribution to journalArticle

Model
Timing
Market
Optimal execution
Downside risk

Estimating forward looking distribution with the ross recovery theorem

Kiriu, T. & Hibiki, N., 2019 Jan 1, In : Journal of the Operations Research Society of Japan. 62, 2, p. 83-107 25 p.

Research output: Contribution to journalArticle

Open Access
Investors
Regularization
Portfolio optimization
Risk preferences
Estimator
Pairs trading
Derivatives
Trading strategies
Investment management
Fund management

Multi-period stochastic programming model for state-dependent asset allocation with CVaR

Hirano, S. & Hibiki, N., 2015, In : Journal of the Operations Research Society of Japan. 58, 4, p. 307-329 23 p.

Research output: Contribution to journalArticle

Stochastic programming
Conditional value at risk
Hybrid model
Asset allocation
Allocation problem

Multi-period optimization model for a household, and optimal insurance design

Hibiki, N., 2007 Dec, In : Journal of the Operations Research Society of Japan. 50, 4, p. 463-487 25 p.

Research output: Contribution to journalArticle

Life insurance
Optimal insurance
Optimization model
Household
Medical insurance