2 papers
econ.EM2025
Bayesian Portfolio Optimization by Predictive Synthesis
Masahiro Kato, Kentaro Baba, Hibiki Kaibuchi +1
Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up…
stat.AP2021
GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Hibiki Kaibuchi, Yoshinori Kawasaki, Gilles Stupfler
The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important…