Jiro Hodoshima

Economics Professor

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 (2023) The Aumann-Serrano performance index of DOW 30 components and Dow Jones Industrial Average before and after the global financial crisis. Far East Journal of Theoretical Statistics
Jiro Hodoshima (2022) Utility indifference pricing and mean-variance approach when the degree of risk aversion is small. Far East Journal of Theoretical Statistics
Jiro Hodoshima (2022) Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes. International Review of Financial Analysis
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)

Grants

(2022) Theory and applications of performance measures. JSPS Primary Researcher