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Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs

Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs
Digital文書・図像類
TAKANO Yuichi, GOTOH Jun-yaUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2009-07
Available onlineOther Libraries in Japan
  • Author HeadingTAKANO Yuichi GOTOH Jun-ya

Bounding European-type contingent claim prices via hedging strategy with coherent risk measure

Bounding European-type contingent claim prices via hedging strategy with coherent risk measure
Digital文書・図像類
GOTOH Jun-ya, YAMAMOTO Yoshitsugu, YAO WeifengUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2009-07
Available onlineOther Libraries in Japan
  • Author HeadingGOTOH Jun-ya YAMAMOTO Yoshitsugu YAO Weife...

Conditional Minimum Volume Ellipsoid with Application to Multiclass Discrimination

Conditional Minimum Volume Ellipsoid with Application to Multiclass Discrimination
Digital文書・図像類
Gotoh Jun-ya, Takeda AkikoUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2006-09
Available onlineOther Libraries in Japan
  • Author HeadingGotoh Jun-ya Takeda Akiko

Conditional Minimum Volume Ellipsoid with Applications to Subset Selection for MVE Estimator and Multiclass Discrimination

Conditional Minimum Volume Ellipsoid with Applications to Subset Selection for MVE Estimator and Multiclass Discrimination
Digital文書・図像類
Gotoh Jun-ya, Takeda AkikoUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2006-01
Available onlineOther Libraries in Japan
  • Author HeadingGotoh Jun-ya Takeda Akiko

A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions

A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions
Digital文書・図像類
Jin Hui, Gotoh Jun-ya, Sumita UshioUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2005-12
Available onlineOther Libraries in Japan
  • Author HeadingJin Hui Gotoh Jun-ya Sumita Ushio

The downside risk-averse news-vendor minimizing conditional value-at-risk

The downside risk-averse news-vendor minimizing conditional value-at-risk
Digital文書・図像類
Gotoh Jun-ya, Takano YuichiUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2005-04
Available onlineOther Libraries in Japan
  • Author HeadingGotoh Jun-ya Takano Yuichi

On evaluation of dynamic behavior of modified Ornstein-Uhlenbeck processes with various boundaries

On evaluation of dynamic behavior of modified Ornstein-Uhlenbeck processes with various boundaries
Digital文書・図像類
Gotoh Jun-ya, Sumita Ushio, Jin HuiUniversity of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management2005-06
Available onlineOther Libraries in Japan
  • Author HeadingGotoh Jun-ya Sumita Ushio Jin Hui

Global optimization method for solving the minimum maximal flow problem

Global optimization method for solving the minimum maximal flow problem
Paper図書
by Jun-ya Gotoh, Nguyen Van Thoai, and Yoshitsugu YamamotoUniversity of Tsukuba2001
Other Libraries in Japan
  • Author HeadingGotoh, Jun-ya Thoai, Nguyen V. 山本, 芳嗣

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