Jun-ya Gotoh

Publication Activity (10 Years)

Years Active: 2001-2021
Publications (10 Years): 10

Top Topics

Loss Probability

Machine Learning

Dimensionality Reduction

Robust Optimization

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

Publications

Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Calibration of Distributionally Robust Empirical Optimization Models. Oper. Res. 69 (5) (2021)
Shummin Nakayama, Jun-ya Gotoh
On the superiority of PGMs to PDCAs in nonsmooth nonconvex sparse regression. Optim. Lett. 15 (8) (2021)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
A data-driven approach to beating SAA out-of-sample. CoRR (2021)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Worst-case sensitivity. CoRR (2020)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Robust empirical optimization is almost the same as mean-variance optimization. Oper. Res. Lett. 46 (4) (2018)
Jun-ya Gotoh, Akiko Takeda, Katsuya Tono
DC formulations and algorithms for sparse optimization problems. Math. Program. 169 (1) (2018)
Stan Uryasev, Jun-ya Gotoh
Preface. Ann. Oper. Res. 262 (1) (2018)
Jun-ya Gotoh, Stan Uryasev
Support vector machines based on convex risk functions and general norms. Ann. Oper. Res. 249 (1-2) (2017)
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Calibration of Distributionally Robust Empirical Optimization Models. CoRR (2017)
Jun-ya Gotoh, Stan Uryasev
Two pairs of families of polyhedral norms versus ℓ p -norms: proximity and applications in optimization. Math. Program. 156 (1-2) (2016)
Yuichi Takano, Jun-ya Gotoh
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction. Expert Syst. Appl. 41 (8) (2014)
Jun-ya Gotoh, Akiko Takeda, Rei Yamamoto
Interaction between financial risk measures and machine learning methods. Comput. Manag. Sci. 11 (4) (2014)
Akiko Takeda, Mahesan Niranjan, Jun-ya Gotoh, Yoshinobu Kawahara
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios. Comput. Manag. Sci. 10 (1) (2013)
Jun-ya Gotoh, Akiko Takeda
Minimizing loss probability bounds for portfolio selection. Eur. J. Oper. Res. 217 (2) (2012)
Jun-ya Gotoh, Yoshitsugu Yamamoto, Weifeng Yao
Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures. J. Optim. Theory Appl. 151 (3) (2011)
Jun-ya Gotoh, Akiko Takeda
On the role of norm constraints in portfolio selection. Comput. Manag. Sci. 8 (4) (2011)
Yuichi Takano, Jun-ya Gotoh
-Conservative approximation for probabilistically constrained convex programs. Comput. Optim. Appl. 46 (1) (2010)
Jun-ya Gotoh, Akiko Takeda
Conditional minimum volume ellipsoid with application to multiclass discrimination. Comput. Optim. Appl. 41 (1) (2008)
Jun-ya Gotoh, Yuichi Takano
Newsvendor solutions via conditional value-at-risk minimization. Eur. J. Oper. Res. 179 (1) (2007)
Jun-ya Gotoh, Hiroshi Konno
Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear Inequalities. J. Glob. Optim. 34 (1) (2006)
Jun-ya Gotoh, Nguyen Van Thoai, Yoshitsugu Yamamoto
Global optimization method for solving the minimum maximal flow problem. Optim. Methods Softw. 18 (4) (2003)
Jun-ya Gotoh, Hiroshi Konno
Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm. Manag. Sci. 48 (5) (2002)
Jun-ya Gotoh, Hiroshi Konno
Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope. Comput. Optim. Appl. 20 (1) (2001)