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

Integer programming Engineering & Materials Science
Portfolio Optimization Mathematics
Integer Programming Mathematics
Transaction Costs Mathematics
Branch and Bound Algorithm Mathematics
Optimization Problem Mathematics
Costs Engineering & Materials Science
Optimization Mathematics

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Research Output 2003 2017

  • 153 Citations
  • 8 h-Index
  • 18 Article
  • 1 Chapter
Pairs trading
Derivatives
Trading strategies
Investment management
Fund management
7 Citations (Scopus)

Interaction between financial risk measures and machine learning methods

Gotoh, J. Y., Takeda, A. & Yamamoto, R., 2014 Sep 27, In : Computational Management Science. 11, 4, p. 365-402 38 p.

Research output: Contribution to journalArticle

Learning systems
Convex optimization
Support vector machines
Risk measures
Learning methods
2 Citations (Scopus)

Rebalance schedule optimization of a large scale portfolio under transaction cost

Yamamoto, R. & Konno, H., 2013 Jan 1, In : Journal of the Operations Research Society of Japan. 56, 1, p. 26-37 12 p.

Research output: Contribution to journalArticle

Open Access
Transaction costs
Rebalancing
Schedule
Optimization problem
Deviation
2 Citations (Scopus)

Portfolio optimization under transfer coefficient constraint

Yamamoto, R., Ishibashi, T. & Konno, H., 2012 Feb 1, In : Journal of Asset Management. 13, 1, p. 51-57 7 p.

Research output: Contribution to journalArticle

Coefficients
Portfolio optimization
Optimization problem
Tokyo Stock Exchange
Index funds
2 Citations (Scopus)

Construction of a portfolio with shorter downside tail and longer upside tail

Konno, H., Tanaka, K. & Yamamoto, R., 2011 Mar 1, In : Computational Optimization and Applications. 48, 2, p. 199-212 14 p.

Research output: Contribution to journalArticle

Tail
Portfolio Optimization
Defects
Optimization Problem
Model