Associate Professor
Department of Industrial and Systems Engineering
Chuo University

E-mail:

Research Interest:

• Major Field of Interest:
  • Financial Optimization
    
• Supplementary Fields of Interest:
  Optimization (Mathematical Programming)
  Global Optimization
  Operations Research
  Data Analysis

Papers (in English):

Published/Accepted Papers:

• Gotoh,J., Jin,H. and Sumita,U., "Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options," to appear in Methodology and Computing in Applied Probability.
• Takano,Y. and Gotoh,J., "alpha-Conservative Approximation for Probabilistically Constrained Convex Programs," to appear in Computational Optimization and Applications.
• Gotoh,J. and Takeda,A. (2008), "Conditional Minimum Volume Ellipsoid with Application to Multiclass Discrimination," Computational Optimization and Applications, 41 (1), pp.27-51.
• Jin,H. Gotoh,J. and Sumita,U. (2007), "A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions," The Journal of Derivatives, 15 (1), pp.67-85.
• Gotoh,J. and Takano,Y. (2007), "Newsvendor Solutions via Conditional Value-at-Risk Minimization," European Journal of Operational Research, 179, pp.80-96.
• Sumita,U, Gotoh,J. and Jin,H. (2006), "Numerical Exploration of Dynamic Behavior of the Ornstein-Uhlenbeck Process via Ehrenfest Process Approximation," Journal of Operations Research Society of Japan, 49, pp.256-278.
• Gotoh,J. and Konno,H. (2006), "Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear Inequalities," Journal of Global Optimization, 34, pp.1-14.
• Gotoh,J. and Takeda,A. (2005), "A Linear Classification Model Based on Conditional Geometric Score," Pacific Journal of Optimization, 1, pp.277-296.
• Gotoh,J., Thoai,N.v. and Yamamoto,Y. (2003), "Global Optimization Method for Solving the Minimum Maximal Flow Problem," Optimization Methods and Software, 18, pp.395-415.
• Konno,H. Gotoh,J., Uryasev,S. and Yuki,A. (2002), "Failure Discrimination by Semi-Definite Programming," Financial Engineering, Supply Chain and E-commerce, edited by P.Pardalos and V. Tsitsiringos, Kluwer Academic Publisher.
• Konno,H., Gotoh,J. and Uno,T. (2002), "A Cutting Plane Algorithm for Semi-Definite Programming Problems with Applications to Failure Discrimination and Cancer Diagnosis," Journal of Computational and Applied Mathematics, 146, pp.141-154.
• Gotoh,J. and Konno,H. (2002), "Bounding Option Prices by Semi-Definite Programming : A Cutting Plane Approach," Management Science, 48, pp.665-678.
• Gotoh,J. and Konno,H. (2000), "Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope," Computational Optimization and Applications 20, pp.43-60.
• Gotoh,J. and Konno,H. (2000), "Third Degree Stochastic Dominance and Mean-Risk Analysis," Management Science, 46, pp.289-301.

Submitted/Discussion Papers:

• Gotoh,J. and Fujisawa,K. (2009), "Convex Optimization Approaches to Maximally Predictable Portfolio Selection," Dept.of Industrial and Systems Engineering Discussion Paper Series. Chuo Univ.
• Gotoh,J., Yamamoto,Y. and Yao.W. (2009), "Bounding European-type Contingent Claim Prices via Hedging Strategy with Coherent Risk Measure," Department of Social Systems and Management Discussion Paper Series No.1240. University of Tsukuba.
• Gotoh,J. and Takeda,A. (2009), "On the Role of the Norm Constraint in Portfolio Selection," Dept.of Industrial and Systems Engineering Discussion Paper Series No.09-03. Chuo Univ. ((Revised in Dec. 2009))
• Gotoh,J. and Takeda,A. (2008), "Portfolio Learning via VaR/CVaR Minimization," Dept.of Industrial and Systems Engineering Discussion Paper Series No.08-04. Chuo Univ. (under revision)

Presentation at International Conference:

• J.Gotoh and A.Takeda, "On the Role of Norm Constraints in Portfolio Selection," INFORMS Annual Meeting, the San Diego Convention Center and Hilton San Diego Bayfront, San Diego, USA, October 11-14, 2009.
• J.Gotoh and A.Takeda, "On the Role of Norm Constraints in Portfolio Selection," 20th International Symposium on Mathematical Programming, Chicago, USA, August 23-30, 2009.
• J.Gotoh and A.Takeda, "Improving Portfolio Performance via VaR/CVaR Minimization: A Statistical Learning Approach," INFORMS Annual Meeting, the Marriott Wardman Park Hotel, Washington D.C., USA, October 12-October 15, 2008.
• J.Gotoh and A.Takeda, "Improving the Out-of-Sample Performance via VaR/CVaR Minimization: A Statistical Learning Approach to Portfolio Selection," The 4th Sino-Japanese Optimization Meeting, NCKU, Tainan, Taiwan, August 27-August 31, 2008.
• J.Gotoh and A.Takeda, "Portfolio Learning," New Directions in Quantitative Finance, Reid Hall, Paris, France, May 19-21, 2008.
• Y.Takano and J.Gotoh, "A Conservative Approximation Approach to the Value-at-risk Minimization," INFORMS Annual Meeting 2007, Washington State Convention & Trade Center, Seattle, U.S.A., November 4-7, 2007.
• Y.Takano and J.Gotoh, "A Conservative Approximation Approach to a Chance-Constrained Convex Program with Application to the Value-at-Risk Minimization," Second Mathematical Programming Society International Conference on Continuous Optimization (ICCOPT II & MOPTA-07), McMaster University, Hamilton, Canada, August 13-16, 2007.
• J.Gotoh and A.Takeda, "Conditional Minimum Volume Ellipsoid and Its Computation," Workshop on Advances in Optimization, Tokyo Institute of Technology, Tokyo, Japan, April 19-21, 2007,
• J.Gotoh and A.Takeda, "Conditional Minimum Volume Ellipsoid and Its Application to Multiclass Classification," 19th International Symposium on Mathematical Programming, UFRJ, Rio de Janeiro, Brazil, July 30-August 4, 2006.
• J.Gotoh and Y.Takano, "Conditional Value-at-Risk Minimization for Newsvendor Problem," International Conference on Financial Engineering, University of Florida, Gainesville, U.S.A., March 22-24, 2006.
• J.Gotoh and Y.Takano, "The Downside Risk-Averse News-Vendor Minimizing Conditional Value-at-Risk," The 3rd Sino-Japanese Optimization Meeting, Orchard Parade Hotel, Singapore, October 31-November 2 2005.
• J.Gotoh and A.Takeda, "A Classification Model Based on Conditional Geometric Score," The 6th Conference on Optimization: Techniques and Applications, University of Ballarat, Australia, December 2004.
• H.Konno and J.Gotoh, "Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Inequalities," 18th International Symposium on Mathematical Programming, Denmark Technical University, Copenhagen, Denmark, August 18-22, 2003.
• J.Gotoh, N.v.Thoai and Y.Yamamoto, "Global Optimization Method for Solving the Minimum Maximal Flow Problem," The 5th International Conference on Optimization: Techniques and Applications, Hong Kong, China, December 2001.
• J.Gotoh and H.Konno, "Solving Semi-Definite Programming Problems for Bounding Option Price by a Cutting Plane Algorithm," INFORMS, Miami Beach, Florida, U.S.A., November 2001.
• H.Konno and J.Gotoh, "Failure discrimination and rating by semi-definite programming," 17th International Symposium on Mathematical Programming, Georgia Institute of Technology, Atlanta, U.S.A., August 7-11, 2000.
• J.Gotoh and H.Konno, "Maximizing a Ratio of Two Convex Functions over a Polytope," INFORMS Seoul, Seoul, KOREA, June, 2000.

Courses:

Undergraduate

Introduction to Industrial and Systems Engineering (with the other faculty members, 1st.semester for freshmen)

Probability (1st.semester for freshmen)

Workshop on Probability (1st.semester for freshmen)

Operations Research II (1st.semester for sophomore)

Workshop on Operations Research (2nd.semester for sophomore)

Optimization Techniques (2nd.semester for junior)

Workshop on Industrial and Systems Engineering (with Profs. Konno and Fujisawa, 2nd.semester for junior)

Master's Program

Financial Engineering I (1st.semester)

Financial Engineering II (2nd.semester)

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