Newsvendor solutions via conditional value-at-risk minimization J Gotoh, Y Takano
European Journal of Operational Research 179 (1), 80-96, 2007
371 2007 DC formulations and algorithms for sparse optimization problems J Gotoh, A Takeda, K Tono
Mathematical Programming 169, 141-176, 2018
191 2018 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
121 2018 Third degree stochastic dominance and mean-risk analysis J Gotoh, H Konno
Management science 46 (2), 289-301, 2000
108 2000 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
86 2013 On the role of norm constraints in portfolio selection J Gotoh, A Takeda
Computational Management Science 8, 323-353, 2011
77 2011 Maximization of the ratio of two convex quadratic functions over a polytope JY Gotoh, H Konno
Computational Optimization and Applications 20, 43-60, 2001
76 2001 Calibration of distributionally robust empirical optimization models J Gotoh, MJ Kim, AEB Lim
Operations Research 69 (5), 1630-1650, 2021
56 2021 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
39 2013 Bounding option prices by semidefinite programming: A cutting plane algorithm J Gotoh, H Konno
Management Science 48 (5), 665-678, 2002
39 2002 Efficient DC algorithm for constrained sparse optimization K Tono, A Takeda, J Gotoh
arXiv preprint arXiv:1701.08498, 2017
36 2017 Support vector machines based on convex risk functions and general norms J Gotoh, S Uryasev
Annals of Operations Research 249, 301-328, 2017
35 2017 A linear classification model based on conditional geometric score J Gotoh, A Takeda
32 2004 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
31 2014 Interaction between financial risk measures and machine learning methods J Gotoh, A Takeda, R Yamamoto
Computational Management Science 11 (4), 365-402, 2014
30 2014 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
25 2016 Minimizing loss probability bounds for portfolio selection J Gotoh, A Takeda
European Journal of Operational Research 217 (2), 371-380, 2012
20 2012 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
18 2003 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
16 2006 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
15 2002