## Gotoh, Jun-ya

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 Author ID: gotoh.jun-ya Published as: Gotoh, Jun-ya; Gotoh, Jun-Ya
 Documents Indexed: 29 Publications since 2000 2 Contributions as Editor Co-Authors: 22 Co-Authors with 31 Joint Publications 574 Co-Co-Authors
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### Co-Authors

 0 single-authored 8 Takeda, Akiko 7 Konno, Hiroshi 4 Takano, Yuichi 3 Uryasev, Stan 2 Fujisawa, Katsuki 2 Jin, Hui 2 Kim, Michael Jong 2 Lim, Andrew E. B. 2 Sumita, Ushio 2 Uno, Takeaki 2 Yamamoto, Yoshitsugu 1 Kawahara, Yoshinobu 1 Nakayama, Shummin 1 Nguyen van Thoai 1 Niranjan, Mahesan 1 Shinozaki, Keita 1 Tono, Katsuya 1 Uryasev, Stanislav P. 1 Yamamoto, Rei 1 Yao, Weifeng 1 Yuki, Atshushi 1 Yuki, Atsushi
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### Serials

 3 Journal of the Operations Research Society of Japan 3 Computational Optimization and Applications 3 Computational Management Science 2 Management Science 2 Annals of Operations Research 2 European Journal of Operational Research 2 Mathematical Programming. Series A. Series B 1 Journal of Computational and Applied Mathematics 1 Journal of Optimization Theory and Applications 1 Operations Research 1 Operations Research Letters 1 Optimization 1 Journal of Global Optimization 1 Optimization Methods & Software 1 RIMS Kokyuroku 1 Methodology and Computing in Applied Probability 1 Quantitative Finance 1 Asia-Pacific Financial Markets 1 Pacific Journal of Optimization 1 Optimization Letters
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### Fields

 23 Operations research, mathematical programming (90-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Convex and discrete geometry (52-XX) 3 Statistics (62-XX) 3 Numerical analysis (65-XX) 3 Computer science (68-XX) 2 General and overarching topics; collections (00-XX) 2 Operator theory (47-XX) 2 Probability theory and stochastic processes (60-XX) 1 Geometry (51-XX) 1 Biology and other natural sciences (92-XX)

### 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
2007
DC formulations and algorithms for sparse optimization problems. Zbl 06869181
Gotoh, Jun-ya; Takeda, Akiko; Tono, Katsuya
2018
Maximization of the ratio of two convex quadratic functions over a polytope. Zbl 0984.90046
Gotoh, Jun-Ya; Konno, Hiroshi
2001
On the role of norm constraints in portfolio selection. Zbl 1225.91060
Gotoh, Jun-ya; Takeda, Akiko
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
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
2013
Bounding option prices by semidefinite programming: a cutting plane algorithm. Zbl 1232.91663
Gotoh, Jun-Ya; Konno, Hiroshi
2002
A linear classification model based on conditional geometric score. Zbl 1085.68147
Gotoh, Jun-ya; Takeda, Akiko
2005
Robust empirical optimization is almost the same as mean-variance optimization. Zbl 07064583
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
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
2016
Minimizing loss probability bounds for portfolio selection. Zbl 1244.91108
Gotoh, Jun-Ya; Takeda, Akiko
2012
Support vector machines based on convex risk functions and general norms. Zbl 1404.68104
Gotoh, Jun-ya; Uryasev, Stan
2017
Third degree stochastic dominance and mean-risk analysis. Zbl 1231.91192
Gotoh, Jun-Ya; Konno, Hiroshi
2000
Global optimization method for solving the minimum maximal flow problem. Zbl 1106.90069
Gotoh, Jun-Ya; Nguyen Van Thoai; Yamamoto, Yoshitsugu
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
2002
Numerical exploration of dynamic behavior of Ornstein-Uhlenbeck processes via Ehrenfest process approximation. Zbl 1140.60020
Sumita, Ushio; Gotoh, Jun-ya; Jin, Hui
2006
Interaction between financial risk measures and machine learning methods. Zbl 1342.91017
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei
2014
Failure discrimination by semi-definite programming. Zbl 1029.91516
Konno, Hiroshi; Gotoh, Jun-ya; Uryasev, Stanislav; Yuki, Atshushi
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
2011
Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152
Takano, Yuichi; Gotoh, Jun-ya
2011
Conditional minimum volume ellipsoid with application to multiclass discrimination. Zbl 1201.90156
Gotoh, Jun-Ya; Takeda, Akiko
2008
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities. Zbl 1098.90047
Gotoh, Jun-Ya; Konno, Hiroshi
2006
DC formulations and algorithms for sparse optimization problems. Zbl 06869181
Gotoh, Jun-ya; Takeda, Akiko; Tono, Katsuya
2018
Robust empirical optimization is almost the same as mean-variance optimization. Zbl 07064583
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B.
2018
Support vector machines based on convex risk functions and general norms. Zbl 1404.68104
Gotoh, Jun-ya; Uryasev, Stan
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
2016
Interaction between financial risk measures and machine learning methods. Zbl 1342.91017
Gotoh, Jun-ya; Takeda, Akiko; Yamamoto, Rei
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
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
2013
Minimizing loss probability bounds for portfolio selection. Zbl 1244.91108
Gotoh, Jun-Ya; Takeda, Akiko
2012
On the role of norm constraints in portfolio selection. Zbl 1225.91060
Gotoh, Jun-ya; Takeda, Akiko
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
2011
Constant rebalanced portfolio optimization under nonlinear transaction costs. Zbl 1278.91152
Takano, Yuichi; Gotoh, Jun-ya
2011
Conditional minimum volume ellipsoid with application to multiclass discrimination. Zbl 1201.90156
Gotoh, Jun-Ya; Takeda, Akiko
2008
Newsvendor solutions via conditional value-at-risk minimization. Zbl 1275.90057
Gotoh, Jun-Ya; Takano, Yuichi
2007
Numerical exploration of dynamic behavior of Ornstein-Uhlenbeck processes via Ehrenfest process approximation. Zbl 1140.60020
Sumita, Ushio; Gotoh, Jun-ya; Jin, Hui
2006
Minimal ellipsoid circumscribing a polytope defined by a system of linear inequalities. Zbl 1098.90047
Gotoh, Jun-Ya; Konno, Hiroshi
2006
A linear classification model based on conditional geometric score. Zbl 1085.68147
Gotoh, Jun-ya; Takeda, Akiko
2005
Global optimization method for solving the minimum maximal flow problem. Zbl 1106.90069
Gotoh, Jun-Ya; Nguyen Van Thoai; Yamamoto, Yoshitsugu
2003
Bounding option prices by semidefinite programming: a cutting plane algorithm. Zbl 1232.91663
Gotoh, Jun-Ya; Konno, Hiroshi
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
2002
Failure discrimination by semi-definite programming. Zbl 1029.91516
Konno, Hiroshi; Gotoh, Jun-ya; Uryasev, Stanislav; Yuki, Atshushi
2002
Maximization of the ratio of two convex quadratic functions over a polytope. Zbl 0984.90046
Gotoh, Jun-Ya; Konno, Hiroshi
2001
Third degree stochastic dominance and mean-risk analysis. Zbl 1231.91192
Gotoh, Jun-Ya; Konno, Hiroshi
2000
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### 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
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### 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
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### Cited in 17 Fields

 147 Operations research, mathematical programming (90-XX) 101 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Statistics (62-XX) 18 Numerical analysis (65-XX) 9 Probability theory and stochastic processes (60-XX) 8 Computer science (68-XX) 3 Convex and discrete geometry (52-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Operator theory (47-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Information and communication theory, circuits (94-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Nonassociative rings and algebras (17-XX) 1 Special functions (33-XX) 1 Geometry (51-XX) 1 Mechanics of deformable solids (74-XX)