Makimoto Naoki 牧本直樹

… Alternative Names

MAKIMOTO Naoki 牧本直樹

牧本直樹マキモトナオキ

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Researcher Number	90242263
Other IDs
External Links
Affiliation (Current)	2025: 筑波大学, ビジネスサイエンス系, 教授
Affiliation (based on the past Project Information) *help	2011 – 2024: 筑波大学, ビジネスサイエンス系, 教授 2013: 筑波大学, ビジネスサイエンス系, 教授 2008 – 2010: University of Tsukuba, 大学院・ビジネス科学研究科, 教授 2006: 筑波大学, 大学院ビジネス科学研究科, 助教授 2004 – 2005: 筑波大学, 大学院・ビジネス科学研究科, 助教授 … More 1998 – 2000: University of Tsukuba, Institute of Policy and Planning Sciences, Associate Prof, 社会工学系, 助教授 1994 – 1997: 東京工業大学, 大学院・情報理工学研究科, 講師 1994: 東京工業大学, 大学院情報理工学研究科, 講師 1993: 東京工業大学, 理学部, 助手 Less
Review Section/Research Field	Principal Investigator Basic Section 25010:Social systems engineering-related / Social systems engineering/Safety system / System engineering / Statistical science / Social systems engineering/Safety system / 社会システム工学 Except Principal Investigator 社会システム工学 / Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields / Social systems engineering/Safety system / Statistical science / Social systems engineering/Safety system / Humanities and Social Sciences
Keywords	Principal Investigator 投資戦略 / リターン予測 / 金利期間構造 / 時系列モデル / 相関 / レジームスイッチ / 極値理論 / レジームシフト / ポートフォリオ / 減衰率 … More / 待ち行列ネットワーク / マルコフモデル / 情報通信ネットワーク / 機械学習 / ポートフォリオ戦略 / 金融時系列 / 時系列予測 / 資産間相関 / パフォーマンス評価 / 投資理論 / ファイナンス / 最適投資戦略 / 投資パフォーマンス / 最適ポートフォリオ / スタイルローテーション / ファクターモデル / 金融データ / 多変量分布 / 極値モデル / 不動産競売 / 金融市場 / 多変量時系列 / リファイナンス / 執行戦略 / ベルマン方程式 / 最適投資 / ポートフォリオ選択 / 最適化 / 長時間依存性 / トラヒック / マルコフ型ネットワーク / ネットワーク遅延 / 同時分布 / セル長分布 / 待ち行列モデル / 出力過程 / マルコフ入力過程 / 性能評価 / マルコフ連鎖 / 送信遅延 / セル損失率 / large deviation / 擬出生死滅過程 / 線形増殖過程 / 準定常分布 / 増殖過程 / バースト入力 / スループット / セル廃棄 / EPRCA方式 / 輻輳制御 / ATMネットワーク / セル廃棄率 / 統計多重 / マルコフ型再生入力 … More Except Principal Investigator シミュレーション / ファイナンス / 情報通信ネットワーク / 実証 / 電力市場 / エネルギー / デリバティブ / 統合リスク管理 / モデル化 / 統計数学 / シミュレーション工学 / 信頼性 / 実証分析 / 天候デリバティブ / 市場取引 / 気象予測誤差 / 市場模擬実験 / 市場シミュレーション / 市場取引実験 / 模擬実験システム / 最適ヘッジ / Simulation / Value Selection / Quality Management / Grammar of Science / Uncertainty Management / Design of Experiments / Digital Eneineering / Science for Design / モデル選択 / QFD / 最適化 / 実験計画 / 合わせこみ / 技術開発の文法 / Verification and Validation / リスクマネジメント / 品質管理システム / 解析・評価 / 価値選択 / 品質管理 / 科学の文法 / 不確実性マネジメント / 実験計画法 / ディジタルエンジニアリング / 設計科学 / Flow control / ATM networks / Large deviation theory / Long-range dependence / Input processes with correlations / Queueing networks / Performance models / Communication networks / フローコントロール / ATMネットワーク / large deviation theory / long-range dependence / 相関のある入力過程 / 待ち行列ネットワーク / 性能評価モデル / 市場リスク / ポートフォリオ / コンデージョン / 情報伝播 / ウィルス拡散 / マルチエージェント / コンテージョン / ウイルス拡散 / オピニオン形成 / 投資行動 / 消費者行動 / 情報伝播・拡散 / 教育プログラム / 高校生 / 情報 / 数学 / 数学的思考 / 教育学 / 数理工学 / ネットワーク / Steiner tree / ホ-トンの法則 / ネットワークの信頼性 / 階層的構造 / ルート選択 / 地域情報通信ネットワーク / ホートンの法則 / 信頼性指標 Less

機械学習と時系列モデルを組み合わせたリターン予測に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  2023 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  University of Tsukuba
Construction of risk management system to support renewable energy P2P transactions
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  University of Tsukuba
Analysis of pre- and post- evaluation of portfolio strategyPrincipal Investigator
- Principal Investigator
  
  Makimoto Naoki
- Project Period (FY)
  2019 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  University of Tsukuba
Risk management system for losses caused by trading electricity in whole sale market using weather derivatives
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2019 – 2024
- Research Category
  
  Grant-in-Aid for Challenging Research (Exploratory)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  University of Tsukuba
Constructions of demand-prediction based strategy and real-time experimental system to accelerate electricity market
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Investment strategy with factor model under style rotationPrincipal Investigator
- Principal Investigator
  
  Makimoto Naoki
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Construction of management systems for energy portfolios and market risks
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Extreme value models for multi-variate data and its application to risk managementPrincipal Investigator
- Principal Investigator
  
  MAKIMOTO Naoki
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Analysis of diffusion mechanism of social events
- Principal Investigator
  
  SARUWATARI Yasufumi
- Project Period (FY)
  2008 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Optimal investment strategies with regime shiftsPrincipal Investigator
- Principal Investigator
  
  MAKIMOTO Naoki
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
数学的思考能力向上を目的とする生徒の日常体験を生かした教育プログラムの開発
- Principal Investigator
  
  SUZUKI Hisatoshi
- Project Period (FY)
  2005 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research on Priority Areas
- Review Section
  
  Humanities and Social Sciences
- Research Institution
  University of Tsukuba
A New System of Statistical Sciences for Accelerating Technology Developments and Its Supporting Information System
- Principal Investigator
  
  TSUBAKI Hiroe
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Statistical science
- Research Institution
  University of Tsukuba
動画像データのトラヒック特性と情報ネットワーク性能評価に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  1999 – 2000
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  社会システム工学
- Research Institution
  University of Tsukuba
Large deviationを用いた情報通信システムの性能評価に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  System engineering
- Research Institution
  University of Tsukuba
  Tokyo Institute of Technology
成長する情報通信ネットワークのグラフ的構造と信頼性に関する研究
- Principal Investigator
  
  高橋幸雄
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology
準定常分布を用いた増殖過程の過度的挙動に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Statistical science
- Research Institution
  Tokyo Institute of Technology
Research on New Methods for Performance Evaluation of Communication Networks
- Principal Investigator
  
  TAKAHASHI Yukio
- Project Period (FY)
  1996 – 1998
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  社会システム工学
- Research Institution
  TOKYO INSTITUTE OF TECHNOLOGY
成長する情報通信ネットワークの階層的構造と信頼性に関する研究
- Principal Investigator
  
  高橋幸雄
- Project Period (FY)
  1995
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology
バースト入力を持つ情報通信システムの非定常特性に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  1995
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  System engineering
- Research Institution
  Tokyo Institute of Technology
成長する情報通信ネットワークの信頼性と構築法に関する研究
- Principal Investigator
  
  高橋幸雄
- Project Period (FY)
  1994
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology
情報通信ネットワークの入力過程の統計的性質に関する研究Principal Investigator
- Principal Investigator
  
  牧本直樹
- Project Period (FY)
  1994
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Statistical science
- Research Institution
  Tokyo Institute of Technology
次数化による情報通信ネットワークの新しい信頼性指標の研究
- Principal Investigator
  
  TAKAHASHI Yukio
- Project Period (FY)
  1993
- Research Category
  
  Grant-in-Aid for General Scientific Research (C)
- Research Field
  
  社会システム工学
- Research Institution
  Tokyo Institute of Technology

[Book] 計算で学ぶファイナンス-MATLABによる実装-2008
- Author(s)
  山田雄二,牧本直樹著
- Total Pages
  169
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20310083
[Book] 計算で学ぶファイナンス-MATLABによる実装-2008
- Author(s)
  山田雄二, 牧本直樹
- Total Pages
  216
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20310083
[Book] 計算で学ぶファイナンスーMATLAB による実装2008
- Author(s)
  山田雄二・牧本直樹
- Total Pages
  180
- Publisher
  朝倉書店
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Book] 計算で学ぶファイナンス-MATLABによる実装2008
- Author(s)
  山田雄二・牧本直樹
- Total Pages
  180
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-16200021
[Book] 計算で学ぶファイナンス -MATLAB による実装-2008
- Author(s)
  山田雄二,牧本直樹
- Total Pages
  169
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-20310083
[Book] ビジネスへの確率モデルアプローチ2006
- Author(s)
  牧本直樹
- Total Pages
  162
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-17011013
[Book] ビジネスへの確率モデルアプローチ2006
- Author(s)
  牧本直樹
- Total Pages
  162
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-16200021
[Book] ビジネスへの確率モデルアブローチ2006
- Author(s)
  牧本直樹
- Total Pages
  162
- Publisher
  朝倉書店
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model2023
- Author(s)
  Yoshiyuki Shimai, Naoki Makimoto
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: - Issue: 4 Pages: 817-844
- DOI
  10.1007/s10690-023-09401-2
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K04899
[Journal Article] Capacity market and investments in power generations: Risk-averse decision-making of power producer2023
- Author(s)
  Naoki Makimoto, Ryuta Takashima
- Journal Title
  
  Energies
  
  Volume: 16 Issue: 10 Pages: 1-19
- DOI
  10.3390/en16104241
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00285, KAKENHI-PROJECT-23K26334
[Journal Article] マルコフ・スイッチング・ダイナミック非対称<i>t</i>コピュラを用いた本邦株式市場の依存構造に関する研究2021
- Author(s)
  夷藤翔、牧本直樹
- Journal Title
  
  JAFEE Journal
  
  Volume: 19 Issue: 0 Pages: 27-56
- DOI
  10.32212/jafee.19.0_27
- NAID
  130008029207
- ISSN
  2434-4702
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19K04899
[Journal Article] HOW TO BUILD A PORTFOLIO OF INTEREST-BEARING BONDS FOCUSING ON MARKET MISPRICING2021
- Author(s)
  島井祥行，牧本直樹
- Journal Title
  
  Transactions of the Operations Research Society of Japan
  
  Volume: 64 Issue: 0 Pages: 1-21
- DOI
  10.15807/torsj.64.1
- NAID
  130008076753
- ISSN
  1349-8940, 2188-8280
- Language
  Japanese
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K04899
[Journal Article] Financial Contagion through Asset Price and Interbank Networks2020
- Author(s)
  Jun Sakazaki, Naoki Makimoto
- Journal Title
  
  Advanced Studies of Financial Technologies and Cryptocurrency Markets, Lukas Pichl et al. (eds.), Springer
  
  Volume: 印刷中
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Time Series Prediction with LSTM Networks and Its Application to Equity Investment2020
- Author(s)
  Matsumoto Ken、Makimoto Naoki
- Journal Title
  
  Advanced Studies of Financial Technologies and Cryptocurrency Markets
  
  Volume: 1 Pages: 65-88
- DOI
  10.1007/978-981-15-4498-9_4
- ISBN
  9789811544972, 9789811544989
- Data Source
  KAKENHI-PROJECT-19K04899
[Journal Article] Time Series Prediction with LSTM Networks and Its Application to Equity Investment2020
- Author(s)
  Ken Matsumoto, Naoki Makimoto
- Journal Title
  
  Advanced Studies of Financial Technologies and Cryptocurrency Markets, Lukas Pichl et al. (eds.), Springer
  
  Volume: 印刷中
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Time Series Prediction with LSTM Networks and Its Application to Equity Investment2020
- Author(s)
  Ken Matsumoto, Naoki Makimoto
- Journal Title
  
  Advanced Studies of Financial Technologies and Cryptocurrency Markets, Lukas Pichl et al. (eds.), Springer
  
  Volume: 印刷中
- Data Source
  KAKENHI-PROJECT-19K22024
[Journal Article] Financial Contagion through Asset Price and Interbank Networks2020
- Author(s)
  Jun Sakazaki, Naoki Makimoto
- Journal Title
  
  Advanced Studies of Financial Technologies and Cryptocurrency Markets, Lukas Pichl et al. (eds.), Springer
  
  Volume: 印刷中
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 非線形確率金利モデルを用いた債券ポートフォリオ最適化2019
- Author(s)
  島井祥之，牧本直樹
- Journal Title
  
  Gendai Finance
  
  Volume: 41 Issue: 0 Pages: 27-55
- DOI
  10.24487/gendaifinance.410002
- NAID
  130007739918
- ISSN
  2433-4464
- Year and Date
  2019-10-31
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K01234
[Journal Article] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2018
- Author(s)
  Takeshi Kobayashi and Naoki Makimoto
- Journal Title
  
  JAFEE2017冬季大会予稿集
  
  Volume: 1 Pages: 1-11
- Data Source
  KAKENHI-PROJECT-16K01234
[Journal Article] LINEAR REBALANCING STRATEGY FOR MULTI-PERIOD DYNAMIC PORTFOLIO OPTIMIZATION UNDER REGIME SWITCHES2018
- Author(s)
  Takahiro Komatsu, Naoki Makimoto
- Journal Title
  
  Journal of the Operations Research Society of Japan
  
  Volume: 61 Issue: 3 Pages: 239-260
- DOI
  10.15807/jorsj.61.239
- NAID
  130007420162
- ISSN
  0453-4514, 2188-8299
- Year and Date
  2018-07-25
- Language
  English
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-16K01234
[Journal Article] 媒介変数表現に基づくJEPXスポット電力供給・需要関数の推定2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Journal Title
  
  ジャフィー・ジャーナル「ファイナンスにおける数値計算手法の新展開」
  
  Volume: 15 Pages: 64-93
- NAID
  120007129149
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Dynamic investment strategy with factor models under regime switches2015
- Author(s)
  Takahiro Komatsu, Naoki Makimoto
- Journal Title
  
  Asia Pacific Financial Markets
  
  Volume: 22 Issue: 2 Pages: 209-237
- DOI
  10.1007/s10690-015-9200-8
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] 一般化加法モデルを用いたJEPX時間帯価格予測と入札量: 価格関数の推定2015
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太
- Journal Title
  
  ジャフィー・ジャーナル「ファイナンスとデータ解析」
  
  Volume: 14
- NAID
  120007129150
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Instability of wealth effect on consumption and investment under regime switches2014
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Journal Title
  
  Proceedings of Symposium on Stochastic Models 2014
  
  Pages: 204-213
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] 入札者数を考慮したマンション競売市場の極値分析2013
- Author(s)
  小松広明・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート299 「極値理論の工学への応用(10)」
  
  Pages: 119-132
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] Instability of wealth effect on consumption and investment under regime switches2013
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Journal Title
  
  Applied Economic Time Series Analysis
  
  Volume: Vol. 30 Pages: 11-30
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] 極理理論を利用した中古マンション競売データの分析2012
- Author(s)
  小松広明・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート274 「極値理論の工学への応用(9)」
  
  Pages: 39-50
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] A Negotiation Game Analysis of Airport and Airline Risk Sharing Contract2012
- Author(s)
  K. Hihara and N. Makimoto
- Journal Title
  
  Discussion Paper Series, Graduate School of Public Policy, The University of Tokyo
  
  Volume: GraSPP-DP-E-12-001 Pages: 1-23
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] A Negotiation Game Analysis of Airport and Airline Risk Sharing Contract, Discussion Paper Series GraSPP-DP-E-12-001 and ITPU-DP-E-12-0012012
- Author(s)
  K. Hihara and N. Makimoto
- Journal Title
  
  Graduate School of Public Policy, The University of Tokyo
  
  Pages: 1-23
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 極理理論を利用した中古マンション競売データの分析2012
- Author(s)
  小松広明・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート274「極値理論の工学への応用(9)」
  
  Volume: 274 Pages: 39-50
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 極理理論を利用した中古マンション競売データの分析2012
- Author(s)
  小松広明，牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート「極値理論の工学への応用(9)」
  
  Volume: 274 Pages: 39-50
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 極値理論を利用した中古マンション競売データの分析2012
- Author(s)
  小松広明，牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート
  
  Volume: 274 Pages: 39-50
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] Dynamic investment strategy for factor portfolios with regime switches2011
- Author(s)
  Takahiro Komatsu and Naoki Makimoto
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1736 Pages: 5-17
- Data Source
  KAKENHI-PROJECT-23510157
[Journal Article] 条件付き相関について2011
- Author(s)
  牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート
  
  Volume: 261 Pages: 71-82
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] 銀行間資金決済ネットワークにおける最適決済行動と流動性節約効果2011
- Author(s)
  牧本直樹
- Journal Title
  
  金融研究
  
  Volume: 第30, 第1号 Pages: 75-123
- NAID
  40017661743
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Dynamic investment strategy for factor portfolios with regime switches2011
- Author(s)
  T. Komatsu and N. Makimoto
- Journal Title
  
  京都大学数理解析研究所講究録
  
  Volume: 1736 Pages: 5-17
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 銀行間資金決済ネットワークにおける最適決済行動と流動性節約効果2011
- Author(s)
  牧本直樹
- Journal Title
  
  金融研究
  
  Volume: 30 Pages: 75-123
- NAID
  40017661743
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Dynamic investment strategy for factor portfolios with regime switches2011
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  京都大学数理解析研究所講究録
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] 条件付き相関について2011
- Author(s)
  牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート261「極値理論の工学への応用(8)」
  
  Pages: 71-82
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数2010
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート Vol.246
  
  Pages: 80-94
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Optimal execution of multiasset block orders under stochastic liquidity2010
- Author(s)
  N. Makimoto and Y. Sugihara
- Journal Title
  
  IMES Discussion Paper Series
  
  Volume: 2010-E-25 Pages: 1-33
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数2010
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート
  
  Volume: 246 Pages: 80-94
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数2010
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート 246
  
  Pages: 80-94
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] 株式ポートフォリオにおけるファクター間相関と裾指数2010
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  統計数理研究所共同研究リポート 246
  
  Pages: 80-94
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Optimal execution of multiasset block orders under stochastic liquidity2010
- Author(s)
  N.Makimoto, Y.Sugihara
- Journal Title
  
  IMES Discussion Paper Series
  
  Volume: 2010-E-25 Pages: 1-33
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Optimal execution of multi-asset block orders under stochastic liquidity2010
- Author(s)
  牧本直樹・杉原慶彦
- Journal Title
  
  京都大学数理解析研究所講究録 1675
  
  Pages: 185-198
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] 銀行間資金決済ネットワークにおける最適決済行動と流動性節約効果2010
- Author(s)
  牧本直樹
- Journal Title
  
  金融研究第30巻第1号
  
  Pages: 75-123
- NAID
  40017661743
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Optimal execution of multi-asset block orders under stochastic liquidity2010
- Author(s)
  牧本直樹・杉原慶彦
- Journal Title
  
  京都大学数理解析研究所講究録 1675
  
  Pages: 185-198
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] ファクターリターンモデルの極値分析2009
- Author(s)
  小松高広牧本直樹
- Journal Title
  
  統認数理研究所共同研究リポート「極値理論の工学への応用」 224
  
  Pages: 34-49
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Upper bound for the decay rate of the joint queue-length distribution in a two-node Markovian queueing systems2008
- Author(s)
  K. Katou, N. Makimoto and, Y. Takahashi
- Journal Title
  
  Queueing Systems Vol.58
  
  Pages: 161-189
- NAID
  120006581887
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Optimal mortgage refinancing with regime switches2008
- Author(s)
  T. Kimura and N. Makimoto
- Journal Title
  
  Asia-Pacific Financial Markets Vol.15
  
  Pages: 47-65
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Optimal time to invest under uncertainty with a scale change2008
- Author(s)
  N. Makimoto
- Journal Title
  
  Journal Operations Research Society of japan Vol.51 No.3
  
  Pages: 225-240
- NAID
  110006884640
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] Optimal mortgage refinancing with regime switches2008
- Author(s)
  小松高広・牧本直樹
- Journal Title
  
  Asia-Pacific Financial Markets Vol.15
  
  Pages: 47-65
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Optimal mortgage refinancing with regime switches2008
- Author(s)
  Toshio Kimura Naoki Makimoto
- Journal Title
  
  Asia-Pacific Financial Markets 15
  
  Pages: 47-65
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Optimal time to invest under uncertainty with a scale change2008
- Author(s)
  Naoki Makimoto
- Journal Title
  
  Journal of the Operations Research Society of Japan 51
  
  Pages: 225-240
- NAID
  110006884640
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510126
[Journal Article] Optimal time to invest under uncertainty with a scale change2008
- Author(s)
  N. Makimoto
- Journal Title
  
  Journal Operations Research Society of Japan
  
  Volume: Vol.51, No.3 Pages: 225-240
- NAID
  110006884640
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20310083
[Journal Article] A Hybrid Approach for Performance evaluation of Web-legacy Client/server Systems2008
- Author(s)
  Makimoto, N.・Sakata, H.
- Journal Title
  
  The Grammar of Technology Development 単発論文集
  
  Pages: 165-177
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] A Hybrid Approach for Performance Evaluati on of Web-Legacy Clientl Server Systems2008
- Author(s)
  Makimoto, N. and Sakata, H.
- Journal Title
  
  The Grammar of Technology Development, ed. by Tsubaki, H., Nishina, K. and Yamada, S. Springer
  
  Pages: 165-177
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] A Hybrid Approach for Performance Evaluation of Web-Legacy Client/Server Systems2008
- Author(s)
  Makimoto, N. and Sakata, H.
- Journal Title
  
  The Grammar of Technology Development 単発論文集
  
  Pages: 165-177
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] A Hybrid Approach for Performance Evaluation of Web-Legacy Client/Server Systems2007
- Author(s)
  Makimoto, N., Sakata, H.
- Journal Title
  
  Grammar of Technology Development(Tsubaki et al.ed.)(Springer) (to appear)
- Data Source
  KAKENHI-PROJECT-17011013
[Journal Article] Response time analysis of a multi-server processor sharing model2007
- Author(s)
  Naoki Makimoto
- Journal Title
  
  International Journal of Computer Science and Network Security Vol.7,No.3
  
  Pages: 290-295
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Response time analysis of a multi-server processor sharing model2007
- Author(s)
  Makimoto, N.
- Journal Title
  
  International Journal of Computer Science and Internet Security Vol.7
  
  Pages: 290-295
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Response time analysis of a multi-server processor sharing model2007
- Author(s)
  Makimoto, N.
- Journal Title
  
  International Journal of computer science and Internet Security 7
  
  Pages: 290-295
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Response time analysis of a multi-server processor sharing model2007
- Author(s)
  Makimoto、 N.
- Journal Title
  
  International Journal of Computer Science and Internet Security 7
  
  Pages: 290-295
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] A hybrid approach for performance evaluation of Web-legacy client/server systems2006
- Author(s)
  N.Makimoto, H.Sakata
- Journal Title
  
  Grammar of Technology -Post Proceedings of the International Workshop-, Springer (掲載予定)
- Data Source
  KAKENHI-PROJECT-17011013
[Journal Article] Optimal investment policy for real option problems with regime switching2006
- Author(s)
  Naoki Makimoto
- Journal Title
  
  Lecture Notes in Operations Research and its Applications Vol.6
  
  Pages: 235-246
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Optimal investment policy for real option problems with regime switching2006
- Author(s)
  Makimoto, N.
- Journal Title
  
  Lecture Notes in Operations research and its Applications 6
  
  Pages: 235-246
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Optimal investment policy for real option problems with regime switching2006
- Author(s)
  Makimoto, N.
- Journal Title
  
  Lecture Notes in Operations Research and its Applications Vol.6
  
  Pages: 235-246
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Probabilistic Model Approaches to Business2006
- Author(s)
  Makimoto. N.
- Journal Title
  
  Asakura Shotem
  
  Pages: 162-162
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Risk Evaluation and Cueing Model2004
- Author(s)
  Makimoto. N.
- Journal Title
  
  Operations Research Vol.49-7
  
  Pages: 418-421
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] 極値理論-極値事象のモデリングと評価-2004
- Author(s)
  牧本直樹
- Journal Title
  
  応用経済時系列研究会セミナー「極値理論とその応用」
  
  Pages: 1-18
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] リスク評価と待ち行列モデル2004
- Author(s)
  牧本直樹
- Journal Title
  
  オペレーションズ・リサーチ 49巻7号
  
  Pages: 418-421
- NAID
  110001183794
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Journal Article] Upper bound for the decay rate of the marginal queue-length distribution in a two-node Markovian queueing2004
- Author(s)
  Katou, K., Makimoto, N., Takahashi, Y.
- Journal Title
  
  Journal of the Operations Research Society of Japan
  
  Pages: 314-338
- Data Source
  KAKENHI-PROJECT-16200021
[Presentation] 本邦株式市場のスタイル・ファクター間の依存構造に関する研究2023
- Author(s)
  夷藤翔，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会2023年春季研究発表会
- Data Source
  KAKENHI-PROJECT-19K04899
[Presentation] Dynamic Dependence of Equity Market Factors and Empirical Analysis of Tail Risk Parity Factor Portfolio2023
- Author(s)
  Ito Kakeru, Naoki Makimoto
- Organizer
  6th International Conference on Econometrics and Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K04270
[Presentation] ミスプライスに着目した利付債ポートフォリオの構築法2020
- Author(s)
  島井祥之，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会春季研究発表会
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Multi-period bond portfolio optimization by linear rebalancing strategy utilizing a stochastic interest rate model2020
- Author(s)
  Yoshiyuki Shimai, Naoki Makimoto
- Organizer
  14th International Conference on Computational and Financial Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K22024
[Presentation] ミスプライスに着目した利付債ポートフォリオの構築法2020
- Author(s)
  島井祥行，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会春季研究発表会
- Data Source
  KAKENHI-PROJECT-19K04899
[Presentation] Multi-period bond portfolio optimization by linear rebalancing strategy utilizing a stochastic interest rate model2020
- Author(s)
  Shimai Yoshiyuki, Makimoto Naoki
- Organizer
  14th International Conference on Computational and Financial Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K04899
[Presentation] LSTMによる時系列予測と株式投資戦略への応用2019
- Author(s)
  松本健，牧本直樹
- Organizer
  第22回人工知能学会金融情報学研究会
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Economic Analysis of Capacity Market: Competitive Equilibrium and Market Power2019
- Author(s)
  Sota Terao, Mari Ito, Ryuta Takashima, Naoki Makimoto
- Organizer
  International Workshop on Urban Operations Research 2019
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 容量市場の経済分析2019
- Author(s)
  寺尾蒼大，伊藤真理，高嶋隆太，牧本直樹
- Organizer
  ファイナンスの数理解析とその応用
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 容量市場の経済分析 -市場均衡と価格支配力-2019
- Author(s)
  寺尾蒼大，伊藤真理，高嶋隆太，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会2019年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 容量市場と電源投資 -リスク回避的発電事業者の意思決定-2018
- Author(s)
  牧本直樹，高嶋隆太
- Organizer
  日本オペレーションズ・リサーチ学会2018年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Financial contagion through asset prices and interbank networks2018
- Author(s)
  Jun Sakazaki, Naoki Makimoto
- Organizer
  23rd Annual Workshop on Economic Science with Heterogeneous Interacting Agents
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Bond portfolio optimization using regime switching Nelson Siegel models2018
- Author(s)
  Takeshi Kobayashi, Naoki Makimoto
- Organizer
  12th International Conference on Computational and Financial Economics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Constructions of forecast based strategies and real-time experiment systems for electricity trading market2018
- Author(s)
  Yuji Yamada, Setsuya Kurahashi, Nobuyuki Yamaguchi, Naoki Makimoto, Junya Gotoh, Ryuta Takashima
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Mathematical Modeling of Investment Strategy in Electricity Markets with Capacity Mechanism2018
- Author(s)
  Naoki Makimoto and Ryuta Takashima
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Instability of Wealth Effect on Consumption and Investment under Regime Switches2018
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Organizer
  Asian Finance Association 2018 Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Instability of wealth effect on consumption and investment under regime switches2018
- Author(s)
  Toshio Kimura, Naoki Makimoto
- Organizer
  Asian Finance Association 2018 Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2017
- Author(s)
  Takeshi Kobayashi, Naoki Makimoto
- Organizer
  日本ファイナンス学会第25回大会
- Place of Presentation
  千葉工業大学（千葉県習志野市）
- Year and Date
  2017-06-03
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Bond portfolio optimization under regime switching dynamic Nelson Siegel model2017
- Author(s)
  Takeshi Kobayashi and Naoki Makimoto
- Organizer
  日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] Bond portfolio optimization under regime switching dynamic Nelson Siegel model2017
- Author(s)
  Takeshi Kobayashi, Naoki Makimoto
- Organizer
  日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Bond portfolio optimization using regime switching dynamic Nelson Siegel models2017
- Author(s)
  Takeshi Kobayashi and Naoki Makimoto
- Organizer
  日本保険・年金リスク学会研究発表大会
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] ノンパラメトリック回帰推定に基づくJEPXスポット価格予測と先物価格付けへの応用2017
- Author(s)
  山田雄二, 牧本直樹
- Organizer
  2017年度第46回JAFEE冬季大会
- Place of Presentation
  武蔵大学・江古田キャンパス (東京都練馬区)
- Year and Date
  2017-02-18
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] エッシャー変換と時系列予測に基づくJEPX先渡価格付けモデル2017
- Author(s)
  山田雄二, 牧本直樹
- Organizer
  日本ファイナンス学会第25回大会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Linear rebalancing strategy for portfolio optimization under regime switches2016
- Author(s)
  Takahiro Komatsu, Naoki Makimoto
- Organizer
  日本オペレーションズ・リサーチ学会秋季研究発表会
- Place of Presentation
  山形大学（山形県山形市）
- Year and Date
  2016-09-15
- Data Source
  KAKENHI-PROJECT-16K01234
[Presentation] 媒介変数表現に基づく供給・需要関数のノンパラメトリック推定とJEPXスポット市場への応用2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Organizer
  2015年度JAFEE冬季大会
- Place of Presentation
  慶應義塾大学三田キャンパス北館ホール（東京都港区）
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 牧本直樹極値理論とその応用2015
- Author(s)
  牧本直樹
- Organizer
  応用統計学会2015年度年会（特別講演）
- Place of Presentation
  京都大学医学部芝蘭会館稲盛ホール（京都府京都市）
- Year and Date
  2015-03-14
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity mechanisms and investment decisions in electricity market2015
- Author(s)
  高野祐人，高嶋隆太，山田雄二，牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-26
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity Mechanisms and Investment Decisions in Electricity Market2015
- Author(s)
  Ryuta Takashima, Yuto Takano, Naoki Makimoto, Yuji Yamada
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Pennsylvania Convention Center, Pennsylvania (USA)
- Year and Date
  2015-11-01
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 小売事業者の電力調達戦略に対する容量メカニズムの影響2015
- Author(s)
  高嶋隆太, 風間龍, 山田雄二, 牧本直樹
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Capacity Mechanisms and Investment Decisions in Electricity Market2015
- Author(s)
  Ryuta Takashima, Yuto Takano, Naoki Makimoto, Yuji Yamada
- Organizer
  Workshop on Systems Management and Control
- Place of Presentation
  筑波大学東京キャンパス（東京都文京区）
- Year and Date
  2015-12-12
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] JEPX入札関数の同時推定と連立方程式モデルとの比較2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 冬季大会
- Place of Presentation
  筑波大学　東京キャンパス（東京都文京区）
- Year and Date
  2015-01-23
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] WTIフォワードカーブモデルを用いた燃料価格ヘッジのためのデリバティブに関する検討2015
- Author(s)
  山田雄二, 牧本直樹, 榎本重朗
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表会
- Place of Presentation
  九州工業大学戸畑キャンパス
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 気温と季節性を考慮したJEPX時間帯価格のモデリングと予測2014
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太
- Organizer
  日本OR学会
- Place of Presentation
  大阪大学豊中キャンパス（大阪府）
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2014
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 夏季大会
- Place of Presentation
  成城大学（東京都世田谷区）
- Year and Date
  2014-08-01
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Instability of wealth effect on consumption and investment under regime switches2014
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Organizer
  確率モデルシンポジウム
- Place of Presentation
  東京理科大学森戸記念館(東京都新宿区)
- Year and Date
  2014-01-24
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] 気温と季節性を考慮した JEPX 時間帯価格のモデリングと予測2014
- Author(s)
  山田雄二・牧本直樹・高嶋隆太
- Organizer
  日本オペレーションズ・リサーチ学会2014年春季研究発表会
- Place of Presentation
  大阪大学豊中キャンパス
- Year and Date
  2014-03-06
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] Instability of wealth effect on consumption and investment under regime swieches2014
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Organizer
  Symposiumu on Stochastic Models 2014
- Place of Presentation
  東京理科大学森戸記念館（東京都）
- Invited
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] 気温と季節性を考慮したJEPX時間帯価格のモデリングと予測2014
- Author(s)
  山田雄二・牧本直樹・高嶋隆太
- Organizer
  日本オペレーションズリサーチ学会春季研究発表会
- Place of Presentation
  大阪大学豊中キャンパス（大阪府）
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] Instability of wealth effect on consumption and investment under regime switches2013
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Organizer
  応用時系列研究会
- Place of Presentation
  立教大学池袋キャンパス
- Year and Date
  2013-07-06
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] 極値理論を利用した中古マンション競売データの分析,極値理論の工学への応用2012
- Author(s)
  小松広明・牧本直樹
- Organizer
  平成23年度統計数理研究所共同研究集会
- Place of Presentation
  統計数理研究所(東京都立川市)
- Year and Date
  2012-01-21
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] 極値理論を利用した中古マンション競売データの分析2012
- Author(s)
  小松広明，牧本直樹
- Organizer
  極値理論の工学への応用
- Place of Presentation
  統計数理研究所（立川市）
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] Extreme value analysis of auction data of used apratments2012
- Author(s)
  Hiroaki Komatsu, Naoki Makimoto
- Organizer
  Annual Meeting of Extreme Value Theory and Applications
- Place of Presentation
  The Institute of Statistical Mathematics (Tokyo)
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] Extreme value analysis of auction data of used apartments, Annual Meeting of Extreme Value Theory and Applications2012
- Author(s)
  Hiroaki Komatsu and Naoki Makimoto
- Organizer
  The Institute of Statistical Mathematics Cooperative Research Symposium
- Place of Presentation
  統計数理研究所(東京都立川市)
- Year and Date
  2012-07-28
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] 搭乗率保証契約のリスク分配とインセンティブ設計に関する分析2011
- Author(s)
  日原勝也・牧本直樹
- Organizer
  応用地域学会
- Place of Presentation
  富山大学(富山市)
- Data Source
  KAKENHI-PROJECT-20310083
[Presentation] Dynamic investment strategy for factor portfolios with regime switches2010
- Author(s)
  T.Komatsu, N.Makimoto
- Organizer
  ファイナンスの数理解析とその応用
- Place of Presentation
  京都大学
- Year and Date
  2010-11-24
- Data Source
  KAKENHI-PROJECT-20510126
[Presentation] 条件付き相関について2010
- Author(s)
  牧本直樹
- Organizer
  極値理論の工学への応用
- Place of Presentation
  統計数理研究所
- Data Source
  KAKENHI-PROJECT-20510126
[Presentation] Optimal execution strategy with stochastic liquidity and recursive market impact2009
- Author(s)
  牧本直樹
- Organizer
  ファイナンスのための数理ワークショップ
- Place of Presentation
  早稲田大学
- Year and Date
  2009-09-25
- Data Source
  KAKENHI-PROJECT-20510126
[Presentation] Optimal investment with direct preference for wealth, higher borrowing rate, and regime switches2009
- Author(s)
  Toshio Kimura, Naoki Makimoto
- Organizer
  日本ファイナンス学会
- Place of Presentation
  青山学院大学
- Data Source
  KAKENHI-PROJECT-20510126
[Presentation] Optimal mortgage refinancing with regime switches2008
- Author(s)
  Toshio Kimura Naoki Makimoto
- Organizer
  AsianFA-NFA 2008 International Conference
- Place of Presentation
  パシフィコ横浜
- Year and Date
  2008-07-08
- Data Source
  KAKENHI-PROJECT-20510126
[Presentation] Optimal mortgage refinancing with regime switches,2007
- Author(s)
  Kimura, T.・Makimoto, N.
- Organizer
  2007 Daiwa International Workshop on Financial Engineering
- Place of Presentation
  Tokyo
- Year and Date
  2007-08-06
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Presentation] Optimal mortgage refinancing with regime switches2007
- Author(s)
  Kimura T. and Makimoto. N.
- Organizer
  2007 Daiwa International Workshop on Financial Engineering
- Place of Presentation
  Tokyo
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16200021
[Presentation] Instability of wealth effect on consumption and investment under regime switches
- Author(s)
  Toshio Kimura and Naoki Makimoto
- Organizer
  応用経済時系列研究会
- Place of Presentation
  立教大学池袋キャンパス（東京都）
- Data Source
  KAKENHI-PROJECT-23510157
[Presentation] Instability of wealth effect on consumption and investment under regime switches
- Author(s)
  木村俊夫，牧本直樹
- Organizer
  応用経済時系列研究会
- Place of Presentation
  立教大学池袋キャンパス（東京都）
- Data Source
  KAKENHI-PROJECT-25282087

1. TAKAHASHI Yukio (70016153)

# of Collaborated Projects: 5 results

# of Collaborated Products: 0 results
2. KURAHASHI Setsuya (40431663)

# of Collaborated Projects: 4 results

# of Collaborated Products: 1 results
3. Yamada Yuji (50344859)

# of Collaborated Projects: 4 results

# of Collaborated Products: 15 results
4. 後藤順哉 (40334031)

# of Collaborated Projects: 3 results

# of Collaborated Products: 6 results
5. 高嶋隆太 (50401138)

# of Collaborated Projects: 3 results

# of Collaborated Products: 15 results
6. SUZUKI Hisatoshi (10108219)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
7. SARUWATARI Yasufumi (00292524)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
8. 山口順之 (50371224)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
9. 松本拓史 (60883163)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
10. NISHIO Chizuru (80241769)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. SATO Tadahiko (40400626)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. OOKI Atsuo (20160434)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. YAMAMURA Mariko (60525343)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. SAKURAI Sakurai (60609741)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. TAKINE Tetsuya (00216821)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. MIYAZAWA Masakiyo (80110948)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. OHNO Katsuhisa (50026118)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. TSUBAKI Hiroe (30155436)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. AMASAKA Kakuro (90327289)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
20. NISHINA Takeshi (60115681)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
21. YOSHIDA Kenichi (40344858)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
22. YAMADA Shu (60260965)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
23. 山田孝子 (80272053)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
24. 藤本衡 (30282875)

# of Collaborated Projects: 1 results

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25. 寺野隆雄 (20227523)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
26. 桑嶋健一 (50313086)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
27. 小林武 (70751486)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results
28. 田中謙司 (40431788)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
29. TAKAHASHI Yoshitaka

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Makimoto Naoki 牧本 直樹

MAKIMOTO Naoki 牧本 直樹

牧本 直樹 マキモト ナオキ

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機械学習と時系列モデルを組み合わせたリターン予測に関する研究Principal Investigator

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Analysis of pre- and post- evaluation of portfolio strategyPrincipal Investigator

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Investment strategy with factor model under style rotationPrincipal Investigator

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Extreme value models for multi-variate data and its application to risk managementPrincipal Investigator

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Optimal investment strategies with regime shiftsPrincipal Investigator

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動画像データのトラヒック特性と情報ネットワーク性能評価に関する研究Principal Investigator

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Large deviationを用いた情報通信システムの性能評価に関する研究Principal Investigator

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Makimoto Naoki 牧本直樹

MAKIMOTO Naoki 牧本直樹

牧本直樹マキモトナオキ