9 citations · 12 across the 4 of their papers we have counts for
10 papers
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…
A New Initial Distribution for Quantum Generative Adversarial Networks to Load Probability Distributions
Yuichi Sano, Ryosuke Koga, Masaya Abe +1
Quantum computers are gaining attention for their ability to solve certain problems faster than classical computers, and one example is the quantum expectation estimation algorithm…
Schrödinger Risk Diversification Portfolio
Yusuke Uchiyama, Kei Nakagawa
The mean-variance portfolio that considers the trade-off between expected return and risk has been widely used in the problem of asset allocation for multi-asset portfolios. Howeve…
Controlling False Discovery Rates under Cross-Sectional Correlations
Junpei Komiyama, Masaya Abe, Kei Nakagawa +1
We consider controlling the false discovery rate for testing many time series with an unknown cross-sectional correlation structure. Given a large number of hypotheses, false and m…
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…
NAPLES;Mining the lead-lag Relationship from Non-synchronous and High-frequency Data
Katsuya Ito, Kei Nakagawa
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in pr…