Publication

Papers (Peer-Reviewed):

6. Masashi IEDA,

Continuous-time Portfolio Optimization for Absolute Return Funds,

Asia-Pacific Financial Markets 29 (2022), 675–696. [APFM] [arXiv]

5. Masashi Ieda, Naoki Fujino and Hiroshi Sasaki,

Active portfolio Management with conditioning information,

Journal of Investing 28 (2019), no. 4, 51-65. [JOI]

4. Masashi Ieda,

A dynamic optimal execution strategy under stochastic price recovery,

International Journal of Financial Engineering 02 (2015), no. 4. [IJFE] [arxiv]

3. Masashi Ieda,

An implicit method for the finite time horizon Hamilton–Jacobi–Bellman quasi-variational inequalities,

Applied Mathematics and Computation, Vol. 265 (2015). [AMC] [arxiv]

2. Masashi Ieda, Takashi Yamashita and Yumiharu Nakano,

A liability tracking approach to long term management of pension funds,

Journal of Mathematical Finance 3 (2013), 392-400. [JMF] [arxiv]

1. Masashi Ieda and Masatoshi Shiino,

Modeling asset price processes based on mean-field framework,

Phys. Rev. E 84 (2011), 066105. [PRE]

3. Masashi Ieda,

Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation,

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (2022), 112-117 [J-Stage]

2. Masashi Ieda, Takashi Yamashita and Yumiharu Nakano,

A Liability Tracking Portfolio for Pension Fund Management,

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (2014), 112-117 [J-Stage]

1. Masashi Ieda,

Optimal execution problem: a combined stochastic optimal control approach,

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (2013), 107-112. [J-Stage]

under construction...