29 citations · 112 across the 20 of their papers we have counts for
21 papers
Relationship between optimal portfolios which can maximize and minimize the expected return
Takashi Shinzato
In recent years, the evaluation of the minimal investment risk of the quenched disordered system of a portfolio optimization problem and the investment concentration of the optimal…
Macroscopic theorem of the portfolio optimization problem with a risk-free asset
Ippei Suzuki, Takashi Shinzato
The investment risk minimization problem with budget and return constraints has been the subject of research using replica analysis but there are shortcomings in the extant literat…
Minimal Investment Risk with Cost and Return Constraints: A Replica Analysis
Takashi Shinzato
Previous studies into the budget constraint of portfolio optimization problems based on statistical mechanical informatics have not considered that the purchase cost per unit of ea…
Replica Analysis for Maximization of Net Present Value
Takashi Shinzato
In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica…
Replica Approach for Minimal Investment Risk with Cost
Takashi Shinzato
In the present work, the optimal portfolio minimizing the investment risk with cost is discussed analytically, where this objective function is constructed in terms of two negative…
Random matrix approach for primal-dual portfolio optimization problems
Daichi Tada, Hisashi Yamamoto, Takashi Shinzato
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal p…