29 citations · 112 across the 20 of their papers we have counts for
4 papers · 1 filter
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…
Replica Analysis for Portfolio Optimization with Single-Factor Model
Takashi Shinzato
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consid…
Pythagorean theorem of Sharpe ratio
Takashi Shinzato
In the present paper, using a replica analysis, we examine the portfolio optimization problem handled in previous work and discuss the minimization of investment risk under constra…
Property Safety Stock Policy for Correlated Commodities Based on Probability Inequality
Takashi Shinzato
Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the…