枇々木 規雄

研究成果

年別の研究成果 1998 2019

• 74 被引用数
• 2 h-index
• 8 Article
• 1 Review article

年別の研究成果

年別の研究成果

検索結果

• 2019

  Dynamic optimal execution models with transient market impact and downside risk

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

  研究成果: Article › 査読

  • Optimal Execution
  • Market Impact
  • Downside Risk
  • Market
  • Model

• Estimating forward looking distribution with the ross recovery theorem

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

  研究成果: Article › 査読

  Open Access

  • Risk-neutral Distribution
  • Numerical Analysis
  • Risk Management
  • Regularization
  • Prior Information
  2 被引用数 (Scopus)
• 2017

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

  Yamamoto, R. & Hibiki, N., 2017 7, In: Journal of the Operations Research Society of Japan. 60, 3, p. 244-261 18 p.

  研究成果: Article › 査読

  Open Access

  • Pairs Trading
  • Investment Management
  • Trading Strategies
  • Derivatives
  • Fund Management
• 2015

  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.

  研究成果: Article › 査読

  Open Access

  • Hybrid Model
  • Stochastic Programming
  • Conditional Value at Risk
  • Asset Allocation
  • Allocation Problem
• 2007

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

  Hibiki, N., 2007 12, In: Journal of the Operations Research Society of Japan. 50, 4, p. 463-487 25 p.

  研究成果: Article › 査読

  Open Access

  • Optimal Insurance
  • Medical Insurance
  • Insurance
  • Life Insurance
  • Optimization Model
• 2006

  Multi-period stochastic optimization models for dynamic asset allocation

  Hibiki, N., 2006 2, In: Journal of Banking and Finance. 30, 2, p. 365-390 26 p.

  研究成果: Article › 査読

  • Dynamic Asset Allocation
  • Stochastic Optimization
  • Optimization Model
  • Hybrid Model
  • Stochastic Programming
  38 被引用数 (Scopus)
• 2002

  Compact representations of multi-period stochastic program using simulated path model

  Hibiki, N., 2002 12 1, In: Journal of the Operations Research Society of Japan. 45, 4, p. 547-549 3 p.

  研究成果: Article › 査読

  • Path Model
  • Cash
  • Monte Carlo Simulation
  • Asset Allocation
  • Optimal Portfolio
• 1999

  DEA sensitivity analysis by changing a reference set: Regional contribution to Japanese industrial development

  Hibiki, N. & Sueyoshi, T., 1999 4, In: Omega. 27, 2, p. 139-153 15 p.

  研究成果: Article › 査読

  • Data Envelopment Analysis
  • Sensitivity Analysis
  • Industrial Development
  • Decision Making Units
  • Efficiency Measures
  33 被引用数 (Scopus)
• 1998

  Evaluation techniques with a modified cross-efficiency in DEA

  Hibiki, N., 1998 6, In: Journal of the Operations Research Society of Japan. 41, 2, p. 244-245 2 p.

  研究成果: Review article › 査読

  Open Access

  • Evaluation
  • Efficiency Measures
  • Geometric Mean
  • Multiplier
  • Theoretical Framework
  1 被引用数 (Scopus)