Jun-ya Gotoh
Professor
Department of Industrial and Systems Engineering
Chuo University
E-mail:
Office: 61022 (Korakuen campus)
Phone: +81-3-3817-1928
Research Interest:
Major Expertise:
Financial Optimization, Optimization under Uncertainty
Mathematical Optimization (Mathematical Programming), Global (Nonconvex) Optimization
Operations Research
Data Analysis, Machine Learning
Other Application Areas of Interest:
Sports (e.g., ranking); Energy (portfolio, control, etc.); Other Industrial and Scientific Applications, etc.
Local Orgnizing Committee Memeber of
5th International Conference on Continuous Optimization (ICCOPT 2016 Tokyo)
, which will be held in Tokyo, August 6-11, 2016
Editorial Board Member of
Annals of Operations Research
, Springer, since Jan 2015
Co-guest Editor of
Annals of Operations Research
, Springer, Special Volume on
Risk Management Approaches in Engineering Applications
: Deadline for submission was June 1, 2015.
Associate Editor of
Optimization and Engineering
, Springer, since 2014
Guest Editor of
the Journal of Operations Research of Japan
Vol.54 No.4, 2011.
Associate Editor of
the Journal of Operations Research of Japan
since 2008 (vol.51 no. 2) till 2012.
Papers (in English):
Papers Published (Accepted) in Refereed International Journals:
Gotoh,J.
and Uryasev,S. (2017), "
Support Vector Machines Based on Convex Risk Functions and General Norms
,"
Annals of Operations Research
, 249, (1), pp.301-328.
Gotoh,J.
and Uryasev,S. (2016) "
Two Pairs of Families of Polyhedral Norms Versus lp-Norms: Proximity and Applications in Optimization
,"
Mathematical Programming
Series A, 156, (1), pp.391-431.
Takano,Y.,
Gotoh,J.
(2014)
"
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction
"
Expert Systems with Applications
, 41, (8), pp.3901-3914.
Gotoh,J.
, Takeda,A and Yamamoto,R. (2014)
"
Interaction between Financial Risk Measures and Machine Learning Methods
"
Computational Management Science
, 11, (4), pp.365-402.
Gotoh,J.
and Fujisawa,K. (2014)
"
Convex Optimization Approaches to Maximally Predictable Portfolio Selection
,"
Optimization
63, (11), pp.1713-1735.
Gotoh,J.
, Shinozaki,K. and Takeda,A. (2013)
"
Robust Portfolio Techniques for Mitigating the Fragility of CVaR Minimization and Generalization to Coherent Risk Measures
,"
Quantitative Finance
13, (10), pp.1621-1635.
Takeda,A., Niranjan,M.,
Gotoh,J.
and Kawahara,Y. (2013)
"
Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
,"
Computational Management Science
, 10, (1), pp.21-49.
Takano,Y. and
Gotoh,J.
(2011)
"
A Nonlinear Control Policy Using Kernel Method for Dynamic Asset Allocation
,"
Journal of the Operations Research of Japan
, 54 (4), pp.201-218.
Gotoh,J.
and Takeda,A. (2012)
"
Minimizing Loss Probability Bounds for Portfolio Selection
"
European Journal of Operational Research
, 217 (2), pp.371-380.
Gotoh,J.
, Yamamoto,Y. and Yao.W. (2011)
"
Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measure
,"
Journal of Optimization Theory and Applications
, 151, (3) pp.613-632. (
errata
)
Gotoh,J.
and Takeda,A. (2011)
"
On the Role of Norm Constraints in Portfolio Selection
,"
Computational Management Science
, 8 (4), pp.323-353.
Takano,Y. and
Gotoh,J.
(2011)
"
Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs
,"
Asia-Pacific Financial Markets
, 18 (2), pp.191-211.
Gotoh,J.
, Jin,H. and Sumita,U. (2011)
"
Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options
,"
Methodology and Computing in Applied Probability
, 13(1), pp.193-219.
Takano,Y. and
Gotoh,J.
(2010)
"
alpha-Conservative Approximation for Probabilistically Constrained Convex Programs
,"
Computational Optimization and Applications
, 46 (1), pp.113-133.
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(4), pp.395-415.
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.
Book Chapter (in English, refereed):
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.
Book Chapter (in English, un-refereed):
Gotoh,J.
, Takeda,A. (2016), "CVaR Minimizations in Support Vector Machines" in A.N.Akansu, S.R.Kulkarni, D.Malioutov, Ilya Pollak ed. (2016)
Financial signal processing and machine learning
(link to an amazon.in page), Wiley-Blackwell (ISBN-10: 1118745671; ISBN-13: 978-1118745670).
Conference Proceedings (in English, refereed):
Takeda, A.,
Gotoh, J.
, Sugiyama, M. (2010) "Support Vector Regression as Conditional Value-at-Risk Minimization with Application to Financial Time-Series Analysis"
2010 IEEE International Workshop on Machine Learning for Signal Processing
Discussion Papers (in English):
Tono,K, Takeda,A., and
Gotoh,J.
. (2017), "
Efficient DC Algorithm for Constrained Sparse Optimization
" arXiv:1701.08498 [math.OC] (submitted).
Gotoh,J.
, Takeda,A., and Tono,K. (2015), "
DC Formulations and Algorithms for Sparse Optimization Problems
" METR (Mathematical Engineering Technical Reports) 2015-27, Dept. Mathematical Engineering and Information Physics, the University of Tokyo, Tokyo, Aug 2015 (submitted).
Gotoh,J.
, Kim, M.J., and Lim,A.E.B. (2015), "
Robust Empirical Optimization is Almost the Same as Mean-variance Optimization
(submitted) (title of previous version: "Two Perspectives on Robust Empirical Optimization")
Tsyurmasto,P.,
Gotoh,J.
and Uryasev,S. (2013), "
Support Vector Classification with Positive Homogeneous Risk Functionals
," Research Report 2013-4, ISE Dept., University of Florida, September 2013.
Lectures and Presentations at International Conferences or Seminars (only talks by myself):
J.Gotoh
, A.Takeda, K.Tono, "DC Formulations and Algorithms for Sparse Optimization Problems," a talk at a
DS Seminar
, NUS Business School Decision Sciences Department, Singapore, Mar 1, 2017.
J.Gotoh
, A.Takeda, K.Tono, "DC Formulations and Algorithms for Sparse Optimization Problems,"
Workshop on Risk Management Approaches in Engineering Applications
, Gainesville, Florida, USA, Nov 17 & 18, 2016.
J.Gotoh
, M.J.Kim, A.E.B.Lim, "
Robust Empirical Optimization is Almost the Same as Mean-variance Optimization
," "
INFORMS Annual Meeting 2016
," Nashville, USA, Nov 13-16, 2016.
J.Gotoh
"Conditional Value-at-Risk and Its Applications in Optimization," talks at Department of Industrial and Systems Engineering, KAIST, Daejeon, Korea, Sep 5&6, 2016.
J.Gotoh
, M.J.Kim, A.E.B.Lim, "
Robust Empirical Optimization is Almost the Same as Mean-variance Optimization
," "
Workshop on Risk Management Approaches in Engineering Applications
," Gainesville, Florida, USA, Nov 9&10, 2015.
J.Gotoh
, M.J.Kim, A.E.B.Lim, "
Robust Empirical Optimization is Almost the Same as Mean-variance Optimization
," "
INFORMS Annual Meeting 2015
," Pennsylvania Convention Center and Philadelphia Marriott Downtown Hotel, Philadelphia, USA, Nov 1-4, 2015.
J.Gotoh
, M.J.Kim, A.E.B.Lim, "Two Perspectives on Robust Empirical Optimization," "
22nd International Symposium on Mathematical Programming (ISMP 2015)
," Wyndham Grand Pittsburgh Downtown, Pittsburgh, USA, July 12-17, 2015.
J.Gotoh
, S.Uryasev, "
Support Vector Machines Based on Convex Risk Functionals and General Norms
,"
INFORMS Annual Meeting 2014
, Hilton San Francisco Union Square & Parc 55 Wyndham San Francisco, San Francisco, USA, November 9-12, 2014.
J.Gotoh
, S.Uryasev, "Support Vector Machines Based on Convex Risk Functionals and General Norms,"
The First Pacific Optimization Conference
, Lakeside Park Resort, Wuxi, China, October 31 - November 2, 2014.
J.Gotoh
, S.Uryasev, "Support Vector Machines Based on Convex Risk Functionals and General Norms,"
SIAM Conference on Optimization
, Town and Country Resort and Convention Center, San Diego, USA, May 19-22, 2014.
J.Gotoh
, A.Takeda, R.Yamamoto, "Interaction between Financial Risk Measures and Machine Learning Methods,"
INFORMS Annual Meeting 2013
, Minneapolis Convention Center, Minneapolis, USA, October 6-9, 2013.
J.Gotoh
, S.Uryasev, "Approximation of Euclidean Norm by LP-representable Norms and Applications,"
INFORMS Annual Meeting 2013
, Minneapolis Convention Center, Minneapolis, USA, October 6-9, 2013.
J.Gotoh
, A.Takeda, R.Yamamoto "Financial Risk Minimization-based SVMs and Application to Credit Rating,"
International Conference on Continuous Optimization (ICCOPT) 2013
, Universidade Nova de Lisboa, Caparica, Portugal, July 27-Aug 1, 2013.
J.Gotoh
, A.Takeda, R.Yamamoto "Coherent Risk Minimization-based SVMs and Application to Credit Rating," EURO-INFORMS Rome, Rome-Universita Sapienza, Rome, Italy, July 1-4, 2013.
J.Gotoh
, K.Shinozaki, A.Takeda, "Robust Portfolio Techniques for Coherent Risk Minimization,"
INFORMS Annual Meeting 2012
, Phoenix Convention Center and Hyatt Regency Phoenix, Phoenix, USA, October 14-17, 2012.
J.Gotoh
, K.Shinozaki, A.Takeda, "Robust portfolio techniques for coherent risk minimization,"
21st International Symposium on Mathematical Programming (ISMP 2012)
, Technische Universitaet Berlin (Berlin Institute of Technology), Berlin, Germany, August 19-24, 2012.
Takeda,A., Niranjan,M.,
Gotoh,J.
and Kawahara,Y. "Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios,"
the INFORMS Optimization Society Conference 2012
, the University of Miami's School of Business Administration, Coral Gables, Florida, USA, February 24-26, 2012.
J.Gotoh
, Y.Yamamoto, W.Yao, "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures,"
INFORMS Annual Meeting 2011
, Charlotte Convention Center, the Hilton Center City, and the Westin, Charlotte, USA, November 13-16, 2011.
J.Gotoh
and K.Shinozaki, "A Robust CVaR Portfolio Using Factor Model-Based Uncertainty,"
INFORMS Annual Meeting 2010
, the Austin Convention Center and Hilton Austin, Austin, USA, November 7-11, 2010.
J.Gotoh
and K.Fujisawa, "Convex Optimization Approaches for Maximally Predictable Portfolio Selection,"
INFORMS Annual Meeting 2010
, the Austin Convention Center and Hilton Austin, Austin, USA, November 7-11, 2010.
J.Gotoh
and K.Fujisawa, "Convex Optimization Approaches for Maximally Predictable Portfolio Selection," International Workshop on Optimization and its Applications, University of Tsukuba, Tsukuba, Ibaraki, Japan, July, 2010.
J.Gotoh
and A.Takeda, "On the Role of Norm Constraints in Portfolio Selection,"
INFORMS Annual Meeting 2009
, 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 2008
, 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 (ISMP), 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 (SJOM), Orchard Parade Hotel, Singapore, October 31-November 2 2005.
J.Gotoh
and A.Takeda, "A Classification Model Based on Conditional Geometric Score," The 6th International Conference on Optimization: Techniques and Applications (ICOTA), 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 (ISMP), 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 (ICOTA), 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 Annual Meeting 2001, 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-KORMS 2000, Seoul, KOREA, June, 2000.
Courses:
Undergraduate
Introduction to Industrial and Systems Engineering (with the other faculty members, 1st semester for freshmen)
Technical Presentation (with other three faculty members, 1st semester for sophomores, 2010, 2015-)
Operations Research I (2nd semester for freshmen)
Operations Research II (1st semester for sophomores)
Workshop on Operations Research (2nd semester for sophomores)
Optimization Techniques (1st semester for juniors)
Inteligent Systems Engineering (with other three faculty members, 2nd semester for juniors, 2015)
Internship (as a supervisor; 2nd semester for juniors, 2010-2012, 2014-)
Master's Course
Operations Research I (1st.semester, 2016)
Operations Research II (2nd.semester, 2016)
Convex Optimization (1st.semester, 2014, 2015, 2017)
Financial Optimization (2nd.semester, 2014, 2015, 2017)
E-mail:
Updated: April 9, 2017.