Seiji Minami

Resona Bank

Chief Quantitative Analyst / Chief Fund Manager

Fukagawa Gatharia W2

5-65, Kiba 1-Chome

Tokyo, 135-8581

Japan

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 19,644

SSRN RANKINGS

Top 19,644

in Total Papers Downloads

2,371

SSRN RANKINGS

Top 36,076

in Total Papers Citations

5

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Scholarly Papers (9)

1.

Alpha Minus Beta: Simple Rule for Smart Beta Strategy

Number of pages: 5 Posted: 12 May 2014
Seiji Minami and Tetsuroh Wakatsuki
Resona Bank and Resona Bank
Downloads 605 (42,513)

Abstract:

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Factor Tilts, Smart Beta

2.

Composite Alpha Factor and Portfolio Rebalance on Factor Tilts

Number of pages: 28 Posted: 23 Nov 2011 Last Revised: 08 Dec 2011
Seiji Minami
Resona Bank
Downloads 483 (56,770)

Abstract:

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Composite Factor, Signal Weighting, Dynamic Optimization, Trading Costs, Factor Tilts

3.

Composite Factor for Long Only: Alphas, Risks and Constraints

Number of pages: 19 Posted: 28 Oct 2011
Seiji Minami
Resona Bank
Downloads 304 (97,549)

Abstract:

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Alpha Factor, Risk Factor, Factor Tilts, Portfolio Constraints, Transfer Coefficient, Fundamental Law of Active Management

4.

Robust Portfolio Optimization Under Sampling Error: Estimation of Sampling Error in Small Eigen Value by Semidefinite Programming

Number of pages: 9 Posted: 11 Jul 2013 Last Revised: 13 Sep 2013
Seiji Minami
Resona Bank
Downloads 263 (113,814)

Abstract:

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robust optimization, mean variance optimization, SDP, Semidefinite Programming, sampling error, eigen value, covariance matrix

5.

Underestimation Bias of Risk on Optimized Portfolio by Multifactor Risk Model - Risk of Long Short Portfolio can be Underestimated

Number of pages: 12 Posted: 22 Apr 2013 Last Revised: 01 May 2013
Seiji Minami
Resona Bank
Downloads 202 (147,687)

Abstract:

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Portfolio Optimization, Eigen Vector, Underestimation of Risk, Factor Tilts, Minimum Variance

6.

Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy

Number of pages: 6 Posted: 17 Jun 2014 Last Revised: 13 Nov 2014
Seiji Minami and Tetsuroh Wakatsuki
Resona Bank and Resona Bank
Downloads 190 (156,352)

Abstract:

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Trading Costs, Smart Beta, Factor Tilts, Turnover, Market Impact

7.

Low Volatility of Roe Is a Proxy for Sustainability of Roe: Earnings Quality in Japan

Number of pages: 5 Posted: 15 Aug 2014
Seiji Minami and Tetsuroh Wakatsuki
Resona Bank and Resona Bank
Downloads 120 (228,956)

Abstract:

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Earnings Quality, Volatility of ROE

8.

Save the Trading Costs: Simple and Intuitive Rule for Smart Beta Strategy (Technical Appendix)

Number of pages: 5 Posted: 13 Nov 2014
Seiji Minami and Tetsuroh Wakatsuki
Resona Bank and Resona Bank
Downloads 103 (255,318)

Abstract:

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Trading Costs, Smart Beta, Factor Tilts, Turnover

9.

Optimal Factor Composition Under Sampling Error of Parameters - Diversification to Factor Portfolios

Number of pages: 9 Posted: 28 Jun 2013 Last Revised: 30 Jun 2013
Seiji Minami
Resona Bank
Downloads 101 (258,763)

Abstract:

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portfolio optimization, sampling error, eigen value, factor tilts, covariance matrix