6 papers
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…
TPLVM: Portfolio Construction by Student's -process Latent Variable Model
Yusuke Uchiyama, Kei Nakagawa
Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor's risk aversion, various portfolio construction methods have b…
Variable coefficient complex Ginzburg-Landau equation
Yusuke Uchiyama
The complex Ginzburg-Landau equation (CGLE) is a general model of spatially extended nonequilibrium systems. In this paper, an analytical method for a variable coefficient CGLE is…
A fractional generalized Cauchy process
Yusuke Uchiyama, Takanori Kadoya, Hidetoshi Konno
This paper presents a fractional generalized Cauchy process (FGCP) with an additive and a multiplicative Gaussian white noise for describing subordinated anomalous fluctuations. Th…
Complex Valued Risk Diversification
Yusuke Uchiyama, Takanori Kadoya, Kei Nakagawa
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some con…
Superstatistics with cut-off tails for financial time series
Yusuke Uchiyama, Takanori Kadoya
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To desc…