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]

Proceedings (Peer-Reviewed)

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), 80–85. [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 (2015), 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 (2014), 107–112. [J-Stage]