学部学科

Academic Programs

経済学部

BSc in Economics

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  2. 学部学科
  3. 経済学部
  4. 教員紹介
  5. 程島 次郎

Jiro Hodoshima

経済学部 教授

程島 次郎

プロフィール

学歴:早稲田大学(経済学士、工学士)、一橋大学(経済学修士)、カリフォルニア大学バークレー校(Ph.D. in Economics)
職歴:Center for Operations Research and Econometrics 研究員(ルーバンカトリック大学(ベルギー))、南山大学経済学部講師助教授、名古屋市立大学大学院経済学研究科教授を経て2016年4月より現職。これまでカリフォルニア大学サンディエゴ校、ルーバンカトリック大学、一橋大学、University of Technology Sydney、 Singapore Management University、Chiang Mai Universityなどの客員研究員および客員教授を経験した。専門は、計量経済学、ファイナンス、統計学で、これまでJournal of the American Statistical Association, Journal of Econometrics, Econometric Theory, Financial Analysts Journal, IEEE Transactions on Automatic Controlなどの国際専門雑誌に論文を掲載してきた。

専門分野

計量経済学、ファイナンス、統計学

最終学歴

Ph.D., University of California, Berkeley

研究業績

  • Jiro Hodoshima (2020) The Computational Property of the Aumann-Serrano Performance Index Under Risk-Averse and Risk-Loving Preference. Finance Research Letters
  • Jiro Hodoshima (2020) Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan. Empirical Economics
  • Jiro Hodoshima (2020) Utility Indifference Pricing and the Aumann-Serrano Performance Index. Journal of mathematical economics 86
  • Jiro Hodoshima (2019) Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan. Asia-Pacific Financial Markets
  • Jiro Hodoshima (2019) Utility Indifference Pricing and the Aumann and Serrano Index. Proceeding of JAFEE 2019 Summer Meeting
  • Jiro Hodoshima (2019) Evaluation by the Aumann and Serrano Performance Index and Sharpe Ratio: Bitcoin Performance. Applied Economics
  • Jiro Hodoshima (2019) Stock performance by utility indifference pricing and the Sharpe ratio. Quantitative Finance 19 (2)
  • Jiro Hodoshima (2018) Evaluation by Utility Indifference Pricing and the Sharpe Ratio: Bitcoin Performance. Proceeding of 2018 Nanzan Symposium
  • Jiro Hodoshima (2018) Stock performance by utility indifference pricing and the Sharpe ratio. Proceedings of JAFEE 2018 Summer Meetings
  • Jiro Hodoshima (2018) Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. Finance Research Letters
  • Jiro Hodoshima (2017) Comparison of the risk-sensitive value measure and mean-variance approach under normal mixture. Proceedings of 2017 Joint Statistical Meeting
  • Jiro Hodoshima (2017) Comparison of utility indifference pricing and mean-variance approach under normal mixture. Finance Research Letters
  • Jiro Hodoshima (2016) A simulation evaluation of risk measures based on expected utility indifference value theory. Proceedings of 2016 Joint Statistical Meetings
  • Jiro Hodoshima (2016) Reexamination of the robustness of the Fama-French three factor model. Far East Journal of Theoretical Statistics
  • Jiro Hodoshima (2015) A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident. Proceeding of the 8th International Conference of the Thailand Econometric Society