Research Output per year

## 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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Network
Recent external collaboration on country level. Dive into details by clicking on the dots.

## Research Output 2003 2017

## Optimal multiple pairs trading strategy using derivative free optimization under actual investment management conditions

Yamamoto, R. & Hibiki, N., 2017 Jul 1, In : Journal of the Operations Research Society of Japan. 60, 3, p. 244-261 18 p.Research output: Contribution to journal › Article

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 journal › Article

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 journal › Article

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 journal › Article

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 journal › Article

Tail

Portfolio Optimization

Defects

Optimization Problem

Model