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Optimal currency portfolio with implied return distribution in the mean-variance approach

Hibiki, Yuta; Kiriu, Takuya; Hibiki, Norio - In: Asia Pacific financial markets 31 (2024) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10014548364

The Impact of Macroeconomic Announcements on Risk, Preference, and Risk Premium

Kiriu, Takuya; Hibiki, Norio - 2022

This study examines the impact of macroeconomic announcements on the risk premium and its sources under time-varying preference. We propose a novel method to decompose risk premium changes into the risk and preference components, which are estimated from option prices immediately before and...

Persistent link: https://www.econbiz.de/10014239318

Asset allocation with forward-looking distribution

Kiriu, Takuya; Hibiki, Norio - In: International journal of portfolio analysis and … 2 (2024) 4, pp. 316-341

Persistent link: https://www.econbiz.de/10015064371

A hyprid simulation/tree stochastic optimisation model for dynamic asset allocation

Hibiki, Norio - In: Asset and liability management tools, (pp. 269-294). 2003

Persistent link: https://www.econbiz.de/10002169380

Multi-period stochastic optimization models for dynamic asset allocation

Hibiki, Norio - In: Journal of banking & finance 30 (2006) 2, pp. 365-390

Persistent link: https://www.econbiz.de/10003291268

A text mining model to evaluate firms' ESG activities : an application for Japanese firms

Kiriu, Takuya; Nozaki, Masatoshi - In: Asia Pacific financial markets 27 (2020) 4, pp. 621-632

Persistent link: https://www.econbiz.de/10012390336

Optimal symmetric no-trade ranges in asset rebalancing strategy with transaction costs : an application to the government pension investment fund in Japan

Hibiki, Norio; Yamamoto, Rei - In: Asia-Pacific journal of risk and insurance : APJRI 8 (2014) 2, pp. 293-327

Persistent link: https://www.econbiz.de/10010393548

Estimating the recovery rates for unsecured loans to small sized firms

Toshiro, Masahiro; Tasaki, Masao; Hikidera, Yusuke; … - In: Asia-Pacific journal of risk and insurance : APJRI 13 (2019) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012120655

DEA sensitivity analysis by changing a reference set: regional contribution to Japanese industrial development

Hibiki, Norio; Sueyoshi, Toshiyuki - In: Omega 27 (1999) 2, pp. 139-153

This article presents a new DEA (data envelopment analysis) approach, referred to as 'DCR (DEA cross-reference) efficiency measure'. This DCR approach is extended into a new sensitivity analysis technique referred to as 'DCS (DEA cross-sensitivity)', that examines the stability of DEA efficiency...

Persistent link: https://www.econbiz.de/10005358636

Multi-period stochastic optimization models for dynamic asset allocation

Hibiki, Norio - In: Journal of banking & finance 30 (2006) 2, pp. 365-390

Persistent link: https://www.econbiz.de/10005878637