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DC formulations and algorithms for sparse optimization problems

Mathematical programming, 2018-05, Vol.169 (1), p.141-176

2018

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Calibration of Distributionally Robust Empirical Optimization Models

Operations research, 2021-09, Vol.69 (5), p.1630-1650

2021

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Exact penalty method for knot selection of B-spline regression

Japan journal of industrial and applied mathematics, 2024-05, Vol.41 (2), p.1033-1059

2024

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Newsvendor solutions via conditional value-at-risk minimization

European journal of operational research, 2007-05, Vol.179 (1), p.80-96

2007

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Robust empirical optimization is almost the same as mean–variance optimization

Operations research letters, 2018-07, Vol.46 (4), p.448-452

2018

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On the superiority of PGMs to PDCAs in nonsmooth nonconvex sparse regression

Optimization letters, 2021-11, Vol.15 (8), p.2831-2860

2021

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Support vector machines based on convex risk functions and general norms

Annals of operations research, 2017-02, Vol.249 (1-2), p.301-328

2017

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Dynamic portfolio selection with linear control policies for coherent risk minimization

Operations Research Perspectives, 2023-01, Vol.10, p.100262, Article 100262

2023

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Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

Computational management science, 2013-02, Vol.10 (1), p.21-49

2013

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

Quantitative finance, 2013-10, Vol.13 (10), p.1621-1635

2013

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Peer-To-Peer Lending: Classification in the Loan Application Process

Risks (Basel), 2018-12, Vol.6 (4), p.129

2018

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On the role of norm constraints in portfolio selection

Computational management science, 2011-11, Vol.8 (4), p.323-353

2011

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Two pairs of families of polyhedral norms versus ...-norms: proximity and applications in optimization

Mathematical programming, 2016-03, Vol.156 (1-2), p.391-431

2016

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Interaction between financial risk measures and machine learning methods

Computational management science, 2014-10, Vol.11 (4), p.365-402

2014

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Convex optimization approaches to maximally predictable portfolio selection

Optimization, 2014-11, Vol.63 (11), p.1713-1735

2014

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Multi-period portfolio selection using kernel-based control policy with dimensionality reduction

Expert systems with applications, 2014-06, Vol.41 (8), p.3901-3914

2014

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Two pairs of families of polyhedral norms versus $$\ell _p$$ ℓ p -norms: proximity and applications in optimization

Mathematical programming, 2016-03, Vol.156 (1-2), p.391-431

2016

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Minimizing loss probability bounds for portfolio selection

European journal of operational research, 2012-03, Vol.217 (2), p.371-380

2012

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A NONLINEAR CONTROL POLICY USING KERNEL METHOD FOR DYNAMIC ASSET ALLOCATION(<Special Issue>SCOPE (Seminar on Computation and OPtimization for new Extensions))

Journal of the Operations Research Society of Japan, 2011, Vol.54(4), pp.201-218

2011

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Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs

Asia-Pacific financial markets, 2011-05, Vol.18 (2), p.191-211

2011

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Conditional minimum volume ellipsoid with application to multiclass discrimination

Computational optimization and applications, 2008-09, Vol.41 (1), p.27-51

2008

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Third Degree Stochastic Dominance and Mean-Risk Analysis

Management science, 2000-02, Vol.46 (2), p.289-301

2000

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Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope

Computational optimization and applications, 2001-10, Vol.20 (1), p.43-43

2001

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Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

Management science, 2002-05, Vol.48 (5), p.665-678

2002

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

Journal of global optimization, 2006-01, Vol.34 (1), p.1-14

2006

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DC formulations and algorithms for sparse optimization problems

Calibration of Distributionally Robust Empirical Optimization Models

Exact penalty method for knot selection of B-spline regression

Newsvendor solutions via conditional value-at-risk minimization

Robust empirical optimization is almost the same as mean–variance optimization

On the superiority of PGMs to PDCAs in nonsmooth nonconvex sparse regression

Support vector machines based on convex risk functions and general norms

Dynamic portfolio selection with linear control policies for coherent risk minimization

Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

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

Peer-To-Peer Lending: Classification in the Loan Application Process

On the role of norm constraints in portfolio selection

Two pairs of families of polyhedral norms versus ...-norms: proximity and applications in optimization

Interaction between financial risk measures and machine learning methods

Convex optimization approaches to maximally predictable portfolio selection

Multi-period portfolio selection using kernel-based control policy with dimensionality reduction

Two pairs of families of polyhedral norms versus $$\ell _p$$ ℓ p -norms: proximity and applications in optimization

Minimizing loss probability bounds for portfolio selection

A NONLINEAR CONTROL POLICY USING KERNEL METHOD FOR DYNAMIC ASSET ALLOCATION(<Special Issue>SCOPE (Seminar on Computation and OPtimization for new Extensions))

Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs

Conditional minimum volume ellipsoid with application to multiclass discrimination

Third Degree Stochastic Dominance and Mean-Risk Analysis

Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope

Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm

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

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