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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

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

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

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 - In: International review of economics & finance : IREF 93 (2024) 2, pp. 842-857

Persistent link: https://www.econbiz.de/10014535661

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