Gotoh Jun-ya

Jun-ya Gotoh

Information about the author Jun-ya Gotoh will soon be added to the site.
Found 7 papers in total
Simultaneous pursuit of out‐of‐sample performance and sparsity in index tracking portfolios
Simultaneous pursuit of out‐of‐sample performance and sparsity in index tracking portfolios
2013
Index tracking is a passive investment strategy in which a fund (e.g., an ETF:...
Minimizing loss probability bounds for portfolio selection
Minimizing loss probability bounds for portfolio selection
2012
In this paper, we derive a portfolio optimization model by minimizing upper and lower...
Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures
Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures
2011
We generalize the notion of arbitrage based on the coherent risk measure, and...
On the role of norm constraints in portfolio selection
On the role of norm constraints in portfolio selection
2011
Several optimization approaches for portfolio selection have been proposed in order to...
Newsvendor solutions via conditional value-at-risk minimization
Newsvendor solutions via conditional value-at-risk minimization
2007
In this paper, we consider the minimization of the conditional value-at-risk (CVaR), a...
Numerical exploration of dynamic behavior of Ornstein–Uhlenbeck processes via Ehrenfest process approximation
Numerical exploration of dynamic behavior of Ornstein–Uhlenbeck processes via Ehrenfest process approximation
2006
Recently Ornstein–Uhlenbeck (O–U) processes have been drawing much...
Bounding option prices by semidefinite programming: A cutting plane algorithm
Bounding option prices by semidefinite programming: A cutting plane algorithm
2002
In a recent article, Bertsimas and Popescu showed that a tight upper bound on a...
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