Academic Programs

BSc in Economics

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  4. Faculty
  5. Jiro Hodoshima

Jiro Hodoshima

Professor

Jiro Hodoshima

Biography

Jiro Hodoshima holds a Ph.D. in Economics (University of California, Berkeley). He has worked at The Center for Operations Research and Econometrics at Universite catholique de Louvain, Belgium, Nanzan University, and Nagoya City University. He has held visiting appointments at a number of universities including University of California, San Diego, Universite catholique de Louvain, Hitotsubashi University, University of Technology Sydney, Singapore Management University, Chiang Mai University. He has publications in a number of the leading international journals in Econometrics, Statistics, and Finance including Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory, Financial Analysts Journal, IEEE Transactions of Automatic Control. His current projects are about Financial Econometrics, Resampling Theory, Inference of Asset Pricing Models, and Panel Data Analysis. He is currently a member of Editorial Board of Far East Journal of Theoretical Statistics.

Research Interests

Econometrics, Finance, Statistics

Final Education

Ph.D., University of California, Berkeley

Academic Papers

  • Jiro Hodoshima (2021) Comparing dynamic and static performance indexes in the stock market: Evidence from Japan. Asia-Pacific Financial Markets
  • Jiro Hodoshima (2021) Sensitivity of Performance Indexes to Disaster Risk. Risks
  • Jiro Hodoshima (2020) The Aumann--Serrano Performance Index for Multi-Period Gambles in Stock Data. Journal of Risk and Financial Management
  • 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) 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) 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 utility indifference pricing and mean-variance approach under normal mixture. Finance Research Letters
  • Jiro Hodoshima (2016) Reexamination of the robustness of the Fama-French three factor model. Far East Journal of Theoretical Statistics

Grants

  • (2017) Construction of property value. JSPS Primary Researcher