Faculty Information - XU CHUNHUI

Office

Academic background

Present specialized field

Research activities

Works

（Last updated : 2025-03-24 13:43:00）

XU CHUNHUI
Department of Applied Informatics, Faculty of Innovative Information Science

Master's Program and Doctoral Program in Management Science, Graduate School of Social Systems Science

Professor

■ Office

Tsudanuma Campus, No.1 Building,9th floor room 020902

■ Academic background

1991/01～1995/03

〔Doctorial Course (2nd Semester)〕, Tokyo Institute of Technology, Completed, Doctor in Engineering

■ Present specialized field

Statistical science, Social systems engineering, Economic statistics, Money and finance, Business administration (Key Word：Financial Engineering,Computational Intelligence in Optimization and Forecasting,Managerial Decision Science)

■ Research activities

1.	1995/05～	The Institute of Electrical and Electronics Engineers (IEEE)
2.	1995/05～	The Operations Research Society of Japan
3.	1997/05～	The Japan Society for Management Information(JASMIN)
4.	2002/04～	Institute for Operations Research and the Management Sciences(INFORMS)
5.	2006/11～	Japan Federation of Management related Academies
6.	2006/11～	∟ Councilor
7.	2011/02～	Asian Association of Management Science and Applications
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■ Works

1.	Book	PVaR: A New Risk Measure for Financial Investments System Research II: Essays in honor of Yasuhuiko Takahara on Systems Management Theory and Practice (Collaboration) 2022
2.	Book	Risk Management in Finance and Logistics (Collaboration) 2018/08
3.	Article	Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure Computational Economics (Collaboration) 2023/08/18
4.	Article	Period value at risk and its estimation by Monte Carlo simulation Applied Economics Letters (Collaboration) 2021/07/27
5.	Article	Modeling and solving portfolio selection problems based on PVaR Quantitative Finance 20(12),pp.1889-1898 (Collaboration) 2020/10/12
6.	Article	A new method of portfolio optimization under cumulative prospect theory Tsinghua Science and Technology 23(1),pp.75-86 (Collaboration) 2018/02/15
7.	Article	Portfolio selection with unfixed investment timings Proceedings of 21th Triennial Conference of the Int. Federation of Operational Research Societies (Collaboration) 2017/07
8.	Article	An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory Computational Economics (Collaboration) 2017
9.	Article	Portfolio optimization in single-period under cumulative prospect theory using genetic algorithms and bootstrap method 13th International Conference on Service Systems and Service Management (ICSSSM) (Collaboration) 2016/08/11
10.	Article	Portfolio selection based on the present discounted value of gains Proceedings of the 13th Int. Conference on Service Systems and Service Management (ICSSSM2016) (Collaboration) 2016/06
11.	Article	Solving the Value-at-Risk Minimization Model with Linear Programming Techniques Asian Journal of Management Science and Applications 2(3),pp.228-244 (Collaboration) 2016/06
12.	Article	Period Value at Risk and its Estimation by Simulation Information 17(6),pp.2605-2617 (Collaboration) 2014/06
13.	Article	Financial Investment Problems with uncertain Investment Deadline and their Resolution Methods Proceedings of the Asian Conference of Management Science and Applications 2013 pp.48-50 (Collaboration) 2013/12
14.	Article	Dynamic Slope Scaling Procedure to solve Stochastic Integer Programming Problem Journal of Computations and Modelling 2(4),pp.133-148 (Collaboration) 2012
15.	Article	Minimization of the k-th Maximum and its application on LMS regression and VaR optimization Journal of The Operational Research Society 63(11),pp.1479-1491 (Collaboration) 2012
16.	Article	Design of Life Insurance Participating Policies with Variable Guarantees and Annual Premium International Journal of Innovative Computing, Information and Control 7(8),pp.4741-4753 (Collaboration) 2011/08
17.	Article	An Optimization Method for Determining LIBOR-linked Notes Based on the Issuer's Interest ICIC Express Letters 5(5),pp.1753-1756 (Collaboration) 2011/05
18.	Article	Design of Equility-linked Structured Products with VaR as Risk Measure ICIC Express Letters 5(5),pp.1747-1752 (Collaboration) 2011/05
19.	Article	Modeling risk control problems in VE under complicated situations and its solution method Lecture Note in Operations Research 12,pp.175-182 (Collaboration) 2010/08
20.	Article	Development of a support system for financial investment Report of Chiba Institute of Technology 57,pp.25-31 (Collaboration) 2010/05
21.	Article	Solving Large Multilevel Lot-sizing Problems with a Simple Heuristic Algorithm Based on Segmentation International Journal of Innovative Computing, Information and Control 6(3(A)),pp.817-827 (Collaboration) 2010/03
22.	Article	Portfolio optimization with risk measured by variance and VaR ICIC Express Letters 3(4(A)),pp.939-944 (Collaboration) 2009/12
23.	Article	Research on Virtual Enterprise Robust Risk Programming Method ICIC Express Letters 3(4(A)),pp.1131-1136 (Collaboration) 2009/09
24.	Article	Review on the Study of Currency Crises Report of Chiba Institute of Technology 56,pp.3-14 (Collaboration) 2009/05
25.	Article	Some insight into Yasuda et al 's. "a grouping genetic algorithm for the multi-objective cell formation problem" International Journal of Production Research 147(7),pp.2009-2010 (Collaboration) 2009/01
26.	Article	Portfolio rebalancing with VaR as risk measure Int. J. of Innovative Computing, Information and Control 4(9),pp.2147-2159 (Collaboration) 2008/09
27.	Article	Pricing Participating Polices using optimization techniques pp.CD-ROM (Collaboration) 2008/06
28.	Article	Soft method for solving VaR based portfolio rebalancing problems Report of Chiba Institute of Technology 55,pp.67-73 (Single) 2008/05
29.	Article	An Experiment of Control-theoretical Model in Dynamic Portfolio Management Proc. of the 2nd International Conference on Innovative Computing,Information and Control pp.CD-ROM (Collaboration) 2007/09
30.	Article	Soft Approach for Optimization in Portfolio Management pp.CD-ROM (Single) 2007/09
31.	Article	A soft approach for solving mixed optimization models Proc. of The 51st annual meeting of the International Society for the Systems Sciences pp.CD-ROM (Single) 2007/08
32.	Article	Multistage portfolio optimization with VaR as risk measure International Journal of Innovative Computing, Information and Control 3(3),pp.709-724 (Collaboration) 2007/08
33.	Article	Portfolio Selection under multiple risk measures pp.CD-ROM (Collaboration) 2007/08
34.	Article	Soft Optimization Approach and Its Applications in Finance Report of Chiba Institute of Technology 54,pp.77-84 (Single) 2007/05
35.	Article	A Soft Optimization Approach for Solving a Complex Multilevel Lot-sizing Problem Proc. of the 8th Int. Conference on Industrial Management pp.3-8 (Collaboration) 2006/09
36.	Article	A Soft Approach for Hard Continuous Optimization European Journal of Operational Research 173(1),pp.18-29 (Collaboration) 2006/08
37.	Article	Misrepresentation-proof strategies in poly-agent systems European Journal of Operational Research 172(2),pp.574-587 (Collaboration) 2006/07
38.	Article	Optimization in Portfolio Rebalancing and Its Soft Solution Method Presentation at INFORMS International pp.Contributed Paper Track -28 (Single) 2006/06
39.	Article	Modeling of portfolio management problems and its resolution Report of Chiba Institute of Technology 53,pp.69-75 (Collaboration) 2006/05
40.	Article	An optimization model for portfolio rebalancing problems and its soft solution method Proceedings of the Fall National Conference of JAFEE pp.1-61 (Collaboration) 2005/12
41.	Article	A soft approach for VaR-based portfolio management Presentation at 17th Triennial Conference of the Int. Federation of Operational Research Societies (Single) 2005/07
42.	Article	A method for timing analysis in investment Intelligent Information Management Systems and Technology 1(1),pp.44-52 (Collaboration) 2005/03
43.	Article	Soft and hard resolution in optimization analysis International Journal of Advances in Systems Sciences and Applications 3(4),pp.488-496 (Single) 2003/12
44.	Article	Interaction Patterns and Efficiency in Poly-agent Systems Proc. of IEEE Int. Conference on Systems, Man and Cybernetics pp.120-125(CD-ROM) (Single) 1999/10
45.	Article	Risk control in production plans Proc. of the 3rd Int. Conference on Engineering Design and Automation pp.807-812(CD-ROM) (Single) 1999/08
46.	Article	Artificial Neural Network Models for Forecasting the Proper Standard of Yen's Exchange Rate Proc. of the 3rd Workshop of Int. Institute of General Systems Studies pp.97-102 (Single) 1998/07
47.	Article	A Soft Systems Approach to Overall Organizations Evaluation Presentation at the 4th Conference of Asian Pacific Operational Research Societies(APORS) (Single) 1997/11
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