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Jun-ya Gotoh
Jun-ya Gotoh
Department of Data Science for Business Innovation, Chuo University
在 kc.chuo-u.ac.jp 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
Newsvendor solutions via conditional value-at-risk minimization
J Gotoh, Y Takano
European Journal of Operational Research 179 (1), 80-96, 2007
3772007
DC formulations and algorithms for sparse optimization problems
J Gotoh, A Takeda, K Tono
Mathematical Programming 169, 141-176, 2018
2072018
Robust empirical optimization is almost the same as mean–variance optimization
J Gotoh, MJ Kim, AEB Lim
Operations research letters 46 (4), 448-452, 2018
1332018
Third degree stochastic dominance and mean-risk analysis
J Gotoh, H Konno
Management science 46 (2), 289-301, 2000
1112000
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
A Takeda, M Niranjan, J Gotoh, Y Kawahara
Computational Management Science 10, 21-49, 2013
872013
Maximization of the ratio of two convex quadratic functions over a polytope
JY Gotoh, H Konno
Computational Optimization and Applications 20, 43-60, 2001
782001
On the role of norm constraints in portfolio selection
J Gotoh, A Takeda
Computational Management Science 8, 323-353, 2011
772011
Calibration of distributionally robust empirical optimization models
J Gotoh, MJ Kim, AEB Lim
Operations Research 69 (5), 1630-1650, 2021
662021
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
JY Gotoh, K Shinozaki, A Takeda
Quantitative Finance 13 (10), 1621-1635, 2013
422013
Efficient DC algorithm for constrained sparse optimization
K Tono, A Takeda, J Gotoh
arXiv preprint arXiv:1701.08498, 2017
392017
Bounding option prices by semidefinite programming: A cutting plane algorithm
J Gotoh, H Konno
Management Science 48 (5), 665-678, 2002
382002
Support vector machines based on convex risk functions and general norms
J Gotoh, S Uryasev
Annals of Operations Research 249, 301-328, 2017
362017
A linear classification model based on conditional geometric score
J Gotoh, A Takeda
Inst. of Technology, 2004
322004
Interaction between financial risk measures and machine learning methods
J Gotoh, A Takeda, R Yamamoto
Computational Management Science 11 (4), 365-402, 2014
312014
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction
Y Takano, J Gotoh
Expert Systems with Applications 41 (8), 3901-3914, 2014
312014
Two pairs of families of polyhedral norms versus -norms: proximity and applications in optimization
J Gotoh, S Uryasev
Mathematical Programming 156 (1), 391-431, 2016
262016
Minimizing loss probability bounds for portfolio selection
J Gotoh, A Takeda
European Journal of Operational Research 217 (2), 371-380, 2012
212012
Global optimization method for solving the minimum maximal flow problem
JY Gotoh, N Van Thoai, Y Yamamoto
Optimization Methods and Software 18 (4), 395-415, 2003
182003
NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION (< Special Issue> Advanced Planning and Scheduling for Supply …
U Sumita, J Gotoh, H Jin
Journal of the Operations Research Society of Japan 49 (3), 256-278, 2006
162006
A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis
H Konno, J Gotoh, T Uno, A Yuki
Journal of Computational and Applied Mathematics 146 (1), 141-154, 2002
142002
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