22 citations · 52 across the 14 of their papers we have counts for
4 papers · 1 filter
Cardinality-constrained Distributionally Robust Portfolio Optimization
Ken Kobayashi, Yuichi Takano, Kazuhide Nakata
This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mix…
Solving Large Break Minimization Problems in a Mirrored Double Round-robin Tournament Using Quantum Annealing
Michiya Kuramata, Ryota Katsuki, Kazuhide Nakata
Quantum annealing (QA) has gained considerable attention because it can be applied to combinatorial optimization problems, which have numerous applications in logistics, scheduling…
Online Trading Models with Deep Reinforcement Learning in the Forex Market Considering Transaction Costs
Koya Ishikawa, Kazuhide Nakata
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading met…
Constrained Generalized Additive 2 Model with Consideration of High-Order Interactions
Akihisa Watanabe, Michiya Kuramata, Kaito Majima +3
In recent years, machine learning and AI have been introduced in many industrial fields. In fields such as finance, medicine, and autonomous driving, where the inference results of…