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Newsvendor solutions via conditional value-at-risk minimization

Gotoh, Jun-ya; Takano, Yuichi - In: European Journal of Operational Research 179 (2007) 1, pp. 80-96

Persistent link: https://www.econbiz.de/10005347663

Newsvendor solutions via conditional value-at-risk minimization

Gotoh, Jun-ya; Takano, Yuichi - In: European journal of operational research : EJOR 179 (2007) 1, pp. 80-96

Persistent link: https://www.econbiz.de/10007391323

Numerical Exploration of Dynamic Behavior of Ornstein-Uhlenbeck Processes via Ehrenfest Process Approximation

Sumita, Ushio; Gotoh, Jun-ya; Jin, Hui - In: Journal of the Operations Research Society of Japan : JORSJ 49 (2006) 3, pp. 256

Persistent link: https://www.econbiz.de/10007394406

On the role of norm constraints in portfolio selection

Gotoh, Jun-ya; Takeda, Akiko - In: Computational Management Science 8 (2011) 4, pp. 323-353

Persistent link: https://www.econbiz.de/10009324515

Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures

Gotoh, Jun-Ya; Shinozaki, Keita; Takeda, Akiko - In: Quantitative Finance 13 (2013) 10, pp. 1621-1635

The conditional value-at-risk (CVaR) has gained growing popularity in financial risk management due to the coherence property and tractability in its optimization. However, optimal solutions to the CVaR minimization are highly susceptible to estimation error of the risk measure because the...

Persistent link: https://www.econbiz.de/10010751532

Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

Gotoh, Jun-ya; Konno, Hiroshi - In: Management science : journal of the Institute for … 48 (2002) 5, pp. 665-678

Persistent link: https://www.econbiz.de/10006087495

Third Degree Stochastic Dominance and Mean-Risk Analysis

Gotoh, Jun-ya; Konno, Hiroshi - In: Management science : journal of the Institute for … 46 (2000) 2, pp. 289-301

Persistent link: https://www.econbiz.de/10006094555

A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions

Jin, Hui; Gotoh, Jun-Ya; Sumita, Ushio - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 67-85

Persistent link: https://www.econbiz.de/10007871189

Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear Inequalities

Gotoh, Jun-Ya; Konno, Hiroshi - In: Journal of global optimization : an international … 34 (2006) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10007146043

Minimizing loss probability bounds for portfolio selection

Gotoh, Jun-ya; Takeda, Akiko - In: European journal of operational research : EJOR 217 (2012) 2, pp. 371-381

Persistent link: https://www.econbiz.de/10009818426