Tokyo University of Science · Graduate School of Business Administration / Faculty of Business Administration · 准教授

Research keywords確率制御・金融工学・確率解析・数理ファイナンス

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• Continuous-Time Portfolio Optimization for Absolute Return Funds2022 · Asia-Pacific Financial Markets
• Active Portfolio Management with Conditioning Information2019 · The Journal of Investing
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities
• Modeling asset price processes based on mean-field framework

• 連続時間確率最適制御における下方リスク最小化問題の数値解析
• 制約条件下における連続時間ポートフォリオ最適化の数値解析

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