Jun-ya Gotoh - researchr alias

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Viewing Publication 1 - 20 from 20

2021

Calibration of Distributionally Robust Empirical Optimization ModelsJun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. ior, 69(5):1630-1650, 2021. [doi]

On the superiority of PGMs to PDCAs in nonsmooth nonconvex sparse regressionShummin Nakayama, Jun-ya Gotoh. ol, 15(8):2831-2860, 2021. [doi]

2018

DC formulations and algorithms for sparse optimization problemsJun-ya Gotoh, Akiko Takeda, Katsuya Tono. mp, 169(1):141-176, 2018. [doi]

Robust empirical optimization is almost the same as mean-variance optimizationJun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim. orl, 46(4):448-452, 2018. [doi]

PrefaceStan Uryasev, Jun-ya Gotoh. anor, 262(1):1-2, 2018. [doi]

2017

Support vector machines based on convex risk functions and general normsJun-ya Gotoh, Stan Uryasev. anor, 249(1-2):301-328, 2017. [doi]

2016

Two pairs of families of polyhedral norms versus ℓ p -norms: proximity and applications in optimizationJun-ya Gotoh, Stan Uryasev. mp, 156(1-2):391-431, 2016. [doi]

2014

Interaction between financial risk measures and machine learning methodsJun-ya Gotoh, Akiko Takeda, Rei Yamamoto. cms, 11(4):365-402, 2014. [doi]

Multi-period portfolio selection using kernel-based control policy with dimensionality reductionYuichi Takano, Jun-ya Gotoh. eswa, 41(8):3901-3914, 2014. [doi]

2013

Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfoliosAkiko Takeda, Mahesan Niranjan, Jun-ya Gotoh, Yoshinobu Kawahara. cms, 10(1):21-49, 2013. [doi]

2012

Minimizing loss probability bounds for portfolio selectionJun-ya Gotoh, Akiko Takeda. eor, 217(2):371-380, 2012. [doi]

2011

Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk MeasuresJun-ya Gotoh, Yoshitsugu Yamamoto, Weifeng Yao. jota, 151(3):613-632, 2011. [doi]

On the role of norm constraints in portfolio selectionJun-ya Gotoh, Akiko Takeda. cms, 8(4):323, 2011. [doi]

2010

α-Conservative approximation for probabilistically constrained convex programsYuichi Takano, Jun-ya Gotoh. coap, 46(1):113-133, 2010. [doi]

2008

Conditional minimum volume ellipsoid with application to multiclass discriminationJun-ya Gotoh, Akiko Takeda. coap, 41(1):27-51, 2008. [doi]

2007

Newsvendor solutions via conditional value-at-risk minimizationJun-ya Gotoh, Yuichi Takano. eor, 179(1):80-96, 2007. [doi]

2006

Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear InequalitiesJun-ya Gotoh, Hiroshi Konno. jgo, 34(1):1-14, 2006. [doi]

2003

Global optimization method for solving the minimum maximal flow problemJun-ya Gotoh, Nguyen Van Thoai, Yoshitsugu Yamamoto. oms, 18(4):395-415, 2003. [doi]

2002

Bounding Option Prices by Semidefinite Programming: A Cutting Plane AlgorithmJun-ya Gotoh, Hiroshi Konno. mansci, 48(5):665-678, 2002. [doi]

2001

Maximization of the Ratio of Two Convex Quadratic Functions over a PolytopeJun-ya Gotoh, Hiroshi Konno. coap, 20(1):43-60, 2001. [doi]

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