18 citations · 56 across the 8 of their papers we have counts for
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q-fin.PM2023
Doubly Robust Mean-CVaR Portfolio
Kei Nakagawa, Masaya Abe, Seiichi Kuroki
In this study, we address the challenge of portfolio optimization, a critical aspect of managing investment risks and maximizing returns. The mean-CVaR portfolio is considered a pr…
q-fin.PM2020★ 11 cited
RM-CVaR: Regularized Multiple -CVaR Portfolio
Kei Nakagawa, Shuhei Noma, Masaya Abe
The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e…
q-fin.PM2020★ 18 cited
Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management
Masaya Abe, Kei Nakagawa
Stock price prediction has been an important research theme both academically and practically. Various methods to predict stock prices have been studied until now. The feature that…