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Author ID: gotoh.jun-ya Recent zbMATH articles by "Gotoh, Jun-ya"
Published as: Gotoh, Jun-ya; Gotoh, Jun-Ya

Publications by Year

Citations contained in zbMATH Open

22 Publications have been cited 218 times in 202 Documents Cited by Year
Newsvendor solutions via conditional value-at-risk minimization. Zbl 1275.90057
Gotoh, Jun-Ya; Takano, Yuichi
60
2007
DC formulations and algorithms for sparse optimization problems. Zbl 06869181
Gotoh, Jun-ya; Takeda, Akiko; Tono, Katsuya
30
2018
Maximization of the ratio of two convex quadratic functions over a polytope. Zbl 0984.90046
Gotoh, Jun-Ya; Konno, Hiroshi
19
2001
On the role of norm constraints in portfolio selection. Zbl 1225.91060
Gotoh, Jun-ya; Takeda, Akiko
17
2011
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257
Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu
14
2013
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures. Zbl 1287.91133
Gotoh, Jun-Ya; Shinozaki, Keita; Takeda, Akiko
10
2013
Bounding option prices by semidefinite programming: a cutting plane algorithm. Zbl 1232.91663
Gotoh, Jun-Ya; Konno, Hiroshi
10
2002
A linear classification model based on conditional geometric score. Zbl 1085.68147
Gotoh, Jun-ya; Takeda, Akiko
7
2005
Robust empirical optimization is almost the same as mean-variance optimization. Zbl 07064583
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
7
2018
Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization. Zbl 1352.47047
Gotoh, Jun-ya; Uryasev, Stan
6
2016
Minimizing loss probability bounds for portfolio selection. Zbl 1244.91108
Gotoh, Jun-Ya; Takeda, Akiko
6
2012
Support vector machines based on convex risk functions and general norms. Zbl 1404.68104
Gotoh, Jun-ya; Uryasev, Stan
6
2017
Third degree stochastic dominance and mean-risk analysis. Zbl 1231.91192
Gotoh, Jun-Ya; Konno, Hiroshi
6
2000
Global optimization method for solving the minimum maximal flow problem. Zbl 1106.90069
Gotoh, Jun-Ya; Nguyen Van Thoai; Yamamoto, Yoshitsugu
4
2003
A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis. Zbl 1007.65042
Konno, Hiroshi; Gotoh, Jun-ya; Uno, Takeaki; Yuki, Atsushi
3
2002
Numerical exploration of dynamic behavior of Ornstein-Uhlenbeck processes via Ehrenfest process approximation. Zbl 1140.60020
Sumita, Ushio; Gotoh, Jun-ya; Jin, Hui
3
2006
Interaction between financial risk measures and machine learning methods. Zbl 1342.91017
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei
2
2014
Failure discrimination by semi-definite programming. Zbl 1029.91516
Konno, Hiroshi; Gotoh, Jun-ya; Uryasev, Stanislav; Yuki, Atshushi
2
2002
Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options. Zbl 1211.60034
Gotoh, Jun-ya; Jin, Hui; Sumita, Ushio
2
2011
Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152
Takano, Yuichi; Gotoh, Jun-ya
2
2011
Conditional minimum volume ellipsoid with application to multiclass discrimination. Zbl 1201.90156
Gotoh, Jun-Ya; Takeda, Akiko
1
2008
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities. Zbl 1098.90047
Gotoh, Jun-Ya; Konno, Hiroshi
1
2006
DC formulations and algorithms for sparse optimization problems. Zbl 06869181
Gotoh, Jun-ya; Takeda, Akiko; Tono, Katsuya
30
2018
Robust empirical optimization is almost the same as mean-variance optimization. Zbl 07064583
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
7
2018
Support vector machines based on convex risk functions and general norms. Zbl 1404.68104
Gotoh, Jun-ya; Uryasev, Stan
6
2017
Two pairs of families of polyhedral norms versus \(\ell _p\)-norms: proximity and applications in optimization. Zbl 1352.47047
Gotoh, Jun-ya; Uryasev, Stan
6
2016
Interaction between financial risk measures and machine learning methods. Zbl 1342.91017
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei
2
2014
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Zbl 1296.91257
Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-Ya; Kawahara, Yoshinobu
14
2013
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures. Zbl 1287.91133
Gotoh, Jun-Ya; Shinozaki, Keita; Takeda, Akiko
10
2013
Minimizing loss probability bounds for portfolio selection. Zbl 1244.91108
Gotoh, Jun-Ya; Takeda, Akiko
6
2012
On the role of norm constraints in portfolio selection. Zbl 1225.91060
Gotoh, Jun-ya; Takeda, Akiko
17
2011
Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options. Zbl 1211.60034
Gotoh, Jun-ya; Jin, Hui; Sumita, Ushio
2
2011
Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152
Takano, Yuichi; Gotoh, Jun-ya
2
2011
Conditional minimum volume ellipsoid with application to multiclass discrimination. Zbl 1201.90156
Gotoh, Jun-Ya; Takeda, Akiko
1
2008
Newsvendor solutions via conditional value-at-risk minimization. Zbl 1275.90057
Gotoh, Jun-Ya; Takano, Yuichi
60
2007
Numerical exploration of dynamic behavior of Ornstein-Uhlenbeck processes via Ehrenfest process approximation. Zbl 1140.60020
Sumita, Ushio; Gotoh, Jun-ya; Jin, Hui
3
2006
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities. Zbl 1098.90047
Gotoh, Jun-Ya; Konno, Hiroshi
1
2006
A linear classification model based on conditional geometric score. Zbl 1085.68147
Gotoh, Jun-ya; Takeda, Akiko
7
2005
Global optimization method for solving the minimum maximal flow problem. Zbl 1106.90069
Gotoh, Jun-Ya; Nguyen Van Thoai; Yamamoto, Yoshitsugu
4
2003
Bounding option prices by semidefinite programming: a cutting plane algorithm. Zbl 1232.91663
Gotoh, Jun-Ya; Konno, Hiroshi
10
2002
A cutting plane algorithm for semi-definite programming problems with applications to failure discriminant analysis. Zbl 1007.65042
Konno, Hiroshi; Gotoh, Jun-ya; Uno, Takeaki; Yuki, Atsushi
3
2002
Failure discrimination by semi-definite programming. Zbl 1029.91516
Konno, Hiroshi; Gotoh, Jun-ya; Uryasev, Stanislav; Yuki, Atshushi
2
2002
Maximization of the ratio of two convex quadratic functions over a polytope. Zbl 0984.90046
Gotoh, Jun-Ya; Konno, Hiroshi
19
2001
Third degree stochastic dominance and mean-risk analysis. Zbl 1231.91192
Gotoh, Jun-Ya; Konno, Hiroshi
6
2000
all top 5

Cited by 375 Authors

15 Gotoh, Jun-ya
14 Takeda, Akiko
6 Konno, Hiroshi
5 Yamamoto, Rei
4 Meng, Zhiqing
4 Uryasev, Stan
4 Xu, Xinsheng
3 Gaudioso, Manlio
3 Gönsch, Jochen
3 Hiriart-Urruty, Jean-Baptiste
3 Kim, Michael Jong
3 Liu, Tianxiang
3 Paterlini, Sandra
3 Pong, Ting Kei
3 Shen, Peiping
3 Sumita, Ushio
3 Yamamoto, Yoshitsugu
2 Borgonovo, Emanuele
2 Chen, Jianxin
2 Chen, Jingnan
2 Chi, Yichun
2 Dai, Gengling
2 Hassler, Michael
2 Jin, Hui
2 Kanno, Yoshihiro
2 Kobayashi, Ken-ichiro
2 Kwon, Roy H.
2 Li, Jonathan Yu-Meng
2 Li, Qia
2 Li, Yongjian
2 Lim, Andrew E. B.
2 Lu, Zhaosong
2 Nguyen van Thoai
2 Niranjan, Mahesan
2 Pang, Jong-Shi
2 Pei, Yonggang
2 Rokhlin, Dmitriĭ Borisovich
2 Sawik, Tadeusz J.
2 Schur, Rouven
2 Shen, Rui
2 Strub, O.
2 Takano, Yuichi
2 Uhan, Nelson A.
2 Xu, Minghui
2 Yoshise, Akiko
2 Zenios, Stavros Andrea
2 Zhang, Na
2 Zhou, Zirui
2 Zhu, Shushang
1 Ahipaşaoğlu, Selin Damla
1 Ahn, Miju
1 Ahner, Darryl K.
1 Alizadeh, Behrooz
1 Amaral, Paula Alexandra
1 Amir, Tal
1 Arango Ospina, Gerardo Iván
1 Arcelus, Francisco J.
1 Arias Serna, María Andrea
1 Arıkan, Emel
1 Assiyatun, Hilda
1 Astorino, Annabella
1 Aubert, Gilles
1 Bahramgiri, Mohsen
1 Bai, Xiaodi
1 Barbini, Fabrizio
1 Baroughi, Fahimeh
1 Basri, Ronen
1 Bayraksan, Güzin
1 Beato-Moreno, Antonio
1 Bechensteen, Arne Henrik
1 Beck, Amir
1 Benson, Harold P.
1 Benson, Karen
1 Bertsimas, Dimitris John
1 Bian, Fengmiao
1 Bian, Wei
1 Blanc-Féraud, Laure
1 Bomze, Immanuel M.
1 Bonaccolto, Giovanni
1 Branda, Martin
1 Brandtner, Mario
1 Briec, Walter
1 Bruni, Renato
1 Camerota Verdù, Federico Julian
1 Caporin, Massimiliano
1 Cesarone, Francesco
1 Chakrabarti, Deepayan
1 Chakrabarty, Siddhartha P.
1 Chan, Chi Kin
1 Chan, Felix T. S.
1 Chao, Xiuli
1 Chazal, Marie
1 Chen, Frank Youhua
1 Chen, Xiaojun
1 Chen, Ye
1 Chen, Yongqiang
1 Chen, Yuwen
1 Cheng, Jianqiang
1 Cheramin, Meysam
1 Chiu, Chun-Hung
...and 275 more Authors
all top 5

Cited in 67 Serials

36 European Journal of Operational Research
12 Computational Optimization and Applications
11 Annals of Operations Research
7 Journal of Optimization Theory and Applications
7 Mathematical Programming. Series A. Series B
6 Asia-Pacific Journal of Operational Research
6 SIAM Journal on Optimization
6 Computational Management Science
5 Applied Mathematics and Computation
5 Operations Research
5 Computers & Operations Research
5 Journal of Global Optimization
5 Mathematical Problems in Engineering
5 Quantitative Finance
4 Operations Research Letters
4 Discrete Dynamics in Nature and Society
3 Optimization
3 Soft Computing
3 Mathematical Methods of Operations Research
3 Optimization Letters
2 Mathematics of Operations Research
2 Insurance Mathematics & Economics
2 Journal of Economic Dynamics & Control
2 Applied Mathematical Modelling
2 SIAM Review
2 Mathematical Finance
2 Methodology and Computing in Applied Probability
2 Optimization and Engineering
2 OR Spectrum
2 Asia-Pacific Financial Markets
2 Journal of Industrial and Management Optimization
1 Physica A
1 The Annals of Statistics
1 Journal of Applied Probability
1 Journal of Computational and Applied Mathematics
1 Journal of Graph Theory
1 Mathematics and Computers in Simulation
1 Naval Research Logistics
1 New Generation Computing
1 Mathematical and Computer Modelling
1 Journal of Scientific Computing
1 Communications in Statistics. Theory and Methods
1 Computational Statistics and Data Analysis
1 Foundations of Computing and Decision Sciences
1 Journal of Mathematical Imaging and Vision
1 SIAM Journal on Scientific Computing
1 Applied and Computational Harmonic Analysis
1 Computational and Applied Mathematics
1 Buletinul Academiei de Științe a Republicii Moldova. Matematica
1 Applied Mathematical Finance
1 INFORMS Journal on Computing
1 International Journal of Theoretical and Applied Finance
1 CEJOR. Central European Journal of Operations Research
1 Journal of Systems Science and Complexity
1 Journal of Applied Mathematics
1 Journal of Applied Mathematics and Computing
1 4OR
1 Contributions to Discrete Mathematics
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Flexible Services and Manufacturing Journal
1 Annals of Finance
1 Numerical Algebra, Control and Optimization
1 Fuzzy Information and Engineering
1 Journal of the Operations Research Society of China
1 International Journal of Systems Science. Principles and Applications of Systems and Integration
1 SIAM Journal on Mathematics of Data Science

Citations by Year