Penalized Optimization Approaches to Control Lower-partial Risk Using Factor Model

• Project/Area Number: 23710176
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Social systems engineering/Safety system
• Research Institution: Chuo University
• Principal Investigator: GOTOH Jun-ya 中央大学, 理工学部, 准教授 (40334031)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000); Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2011: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: ポートフォリオ選択 / CVaR / コヒレントリスク尺度 / 正則化 / SVM / 凸リスク尺度 / ロバスト最適化 / リスク最小化 / 実数空間上のノルム / 凸最適化

Outline of Final Research Achievements

In this project, we consider a portfolio selection problems which minimizes the conditional value-at-risk or its generalized versions. It is known that solutions obtained so as to optimize over historical data do not necessarily optimal to future realization. In order to improve on such an out-of-sample performance, we employed several regularized approaches and examined their effectiveness.

Research Products

• [Journal Article] Two Pairs of Families of Polyhedral Norms Versus l_p-Norms: Proximity and Applications in Optimization (2015)
  • Author(s): Jun-ya Gotoh, Stan Uryasev
  • Journal Title: Mathematical Programming (Ser. A) Volume: 印刷中 Issue: 1-2 Pages: 391-431
  • DOI: 10.1007/s10107-015-0899-9
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] ECサイトにおける顧客の閲覧履歴を利用した 商品ランキング生成法 (2014)
  • Author(s): 武政孝師、後藤順哉
  • Journal Title: オペレーションズ･リサーチ －経営の科学－ Volume: 59 Pages: 465-471
  • NAID: 110009839079
  • Peer Reviewed / Open Access
• [Journal Article] Convex Optimization Approaches to Maximally Predictable Portfolio Selection (2014)
  • Author(s): Jun-ya Gotoh, Katsuki Fujisawa
  • Journal Title: Optimization Volume: 63 Issue: 11 Pages: 1713-1735
  • DOI: 10.1080/02331934.2012.741237
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Multi-period portfolio selection using kernel-based control policy with dimensionality reduction (2014)
  • Author(s): Yuichi Takano, Gotoh Jun-ya
  • Journal Title: Expert Systems with Applications Volume: 41 Issue: 8 Pages: 3901-3914
  • DOI: 10.1016/j.eswa.2013.11.043
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Interaction between financial risk measures and machine learning methods (2014)
  • Author(s): Jun-ya Gotoh, Akiko Takeda, Rei Yamamoto
  • Journal Title: Computational Management Science Volume: 11 Issue: 4 Pages: 365-402
  • DOI: 10.1007/s10287-013-0175-5
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Robust Portfolio Techniques for Mitigating the Fragility of CVaR Minimization and Generalization to Coherent Risk Measures (2013)
  • Author(s): J. Gotoh, K. Shinozaki and A. Takeda
  • Journal Title: Quantitative Finance Volume: - Issue: 10 Pages: 1621-1635
  • DOI: 10.1080/14697688.2012.738930
  • Peer Reviewed
• [Journal Article] Simultaneous pursuit of out-of-sample performance and sparsity in tracking portfolio (2013)
  • Author(s): A.Takeda, M.Niranjan, J.Goto and Y.Kawahara
  • Journal Title: Computational Management Science Volume: Vol.10, No.1 Issue: 1 Pages: 21-49
  • DOI: 10.1007/s10287-012-0158-y
  • Peer Reviewed
• [Journal Article] Minimizing Loss Probability Bounds for Portfolio Selection (2012)
  • Author(s): Jun-ya Gotoh and Akiko Takeda
  • Journal Title: European Journal of Operational Research Volume: 217 Issue: 2 Pages: 371-380
  • DOI: 10.1016/j.ejor.2011.09.012
  • Peer Reviewed
• [Journal Article] A Nonlinear Control Policy Using Kernel Method for Dynamic Asset Allocation (2011)
  • Author(s): Takano,Y. and Gotoh,J.
  • Journal Title: Journal of the Operations Research of Japan Volume: 54 Pages: 201-218
  • Peer Reviewed
• [Journal Article] Bounding contingent claim prices via hedging strategy with coherent risk measures (2011)
  • Author(s): J. Gotoh, Y. Yamamoto and W. Yao
  • Journal Title: Journal of Optimization Theory and Applications Volume: vol.151 No.3 Issue: 3 Pages: 613-632
  • DOI: 10.1007/s10957-011-9899-y
  • NAID: 120007137378
  • Peer Reviewed
• [Journal Article] On the Role of Norm Constraints in Portfolio Selection (2011)
  • Author(s): Jun-ya Gotoh and Akiko Takeda
  • Journal Title: Computational Management Science Volume: 8 Issue: 4 Pages: 323-353
  • DOI: 10.1007/s10287-011-0130-2
  • Peer Reviewed
• [Presentation] 凸リスク関数と任意のノルムを用いたSVMの定式化 (2015)
  • Author(s): 後藤順哉、Uryasev, Stan
  • Organizer: 日本オペレーションズ・リサーチ学会2015年春季研究発表会
  • Place of Presentation: 東京理科大学神楽坂キャンパス
  • Year and Date: 2015-03-27
• [Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms (2014)
  • Author(s): Jun-ya Gotoh, Stan Uryasev
  • Organizer: Risk Management Approaches in Engineering Applications Workshop
  • Place of Presentation: Weil Hall, University of Florida, Gainesville, Florida, USA
  • Year and Date: 2014-11-14
• [Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms (2014)
  • Author(s): Jun-ya Gotoh, Stan Uryasev
  • Organizer: INFORMS Annual Meeting San Francisco 2014
  • Place of Presentation: Hilton San Francisco Union Square & Parc 55 Wyndham San Francisco, San Francisco, California, USA
  • Year and Date: 2014-11-12
• [Presentation] Support vector machines based on convex risk functionals and general norms (2014)
  • Author(s): Jun-ya Gotoh, Stan Uryasev
  • Organizer: The First Pacific Optimization Conference (POC2014)
  • Place of Presentation: Lakeview Park Resort, 中華人民共和国・無錫市
  • Year and Date: 2014-11-01
• [Presentation] 2組の多面体ノルムとl_pノルム：近さの評価と最適化への応用 (2014)
  • Author(s): 後藤順哉、Uryasev, Stan
  • Organizer: 日本オペレーションズ・リサーチ学会2014年秋季研究発表会
  • Place of Presentation: 北海道科学大学
  • Year and Date: 2014-08-29
• [Presentation] Support vector machines based on convex risk functionals and general norms (2014)
  • Author(s): Jun-ya Gotoh, Stan Uryasev
  • Organizer: SIAM Conference on Optimization
  • Place of Presentation: Town and Country Resort & Convention Center, San Diego, California, USA
  • Year and Date: 2014-05-21
• [Presentation] Coherent risk minimization-based SVMs and its application to credit rating (2013)
  • Author(s): Gotoh, J., Takeda, A., Yamamoto, R.
  • Organizer: 26th European Conference on Operational Research
  • Place of Presentation: Sapienza University of Rome （イタリア）
• [Presentation] Financial risk minimization-based SVMs and its application (2013)
  • Author(s): Gotoh, J., Takeda, A., Yamamoto, R.
  • Organizer: International Conference on Continuous Optimization 2013
  • Place of Presentation: Universidade Nova de Lisboa （ポルトガル）
• [Presentation] Interaction between Financial Risk Measures and Machine Learning Methods (2013)
  • Author(s): Gotoh, J., Uryasev, S.
  • Organizer: INFORMS Annual Meeting 2013
  • Place of Presentation: Minneapolis Convention Center (米国）
• [Presentation] Approximation of Euclidean Norm by LP-representable Norms and Applications (2013)
  • Author(s): Gotoh, J., Uryasev, S.
  • Organizer: INFORMS Annual Meeting 2013
  • Place of Presentation: Minneapolis Convention Center (米国)
• [Presentation] コヒレントリスク尺度最小化に基づくSVMと格付け判別への適用 (2013)
  • Author(s): 後藤順哉、武田朗子、山本零
  • Organizer: 日本オペレーションズ・リサーチ学会
  • Place of Presentation: 東京大学
• [Presentation] Robust Portfolio Techniques for Coherent Risk Minimization (2012)
  • Author(s): J.Gotoh, K.Shinozaki, A.Takeda
  • Organizer: INFORMS Annual Meeting
  • Place of Presentation: Phoenix Convention Center and Hyatt Regency Phoenix
• [Presentation] Robust portfolio techniques for coherent risk minimization (2012)
  • Author(s): J.Gotoh, K.Shinozaki, A.Takeda
  • Organizer: 21st International Symposium on Mathematical Programming (ISMP 2012)
  • Place of Presentation: Technische Universitaet Berlin (Berlin Institute of Technology), Berlin, Germany
• [Presentation] Simultaneous Pursuit of Out-of-sample Performance and Sparsity in Index Tracking Portfolios (2012)
  • Author(s): Takeda, A., Niranjan, M., Gotoh J., Kawahara, Y.
  • Organizer: INFORMS Optimization Society Conference 2012
  • Place of Presentation: University of Miami
• [Presentation] Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures (2011)
  • Author(s): Gotoh, J., Yamamoto, Y., Yao, W.
  • Organizer: INFORMS Annual Meeting
  • Place of Presentation: Charlotte Convention Center
• [Presentation] CVaR最小化の脆弱性を軽減するためのロバストポートフォリオ最適化 (2011)
  • Author(s): 後藤順哉, 篠崎桂太
  • Organizer: 日本金融・証券計量・工学学会 夏季大会
  • Place of Presentation: 慶應義塾大学三田キャンパス
• [Presentation] CVaR最小化の脆弱性を軽減するためのロバストポートフォリオ最適化 (2011)
  • Author(s): 後藤順哉, 篠崎桂太
  • Organizer: 金融工学・数理計量ファイナンスの諸問題 2011(招待講演)
  • Place of Presentation: 大阪大学中之島センター
• [Book] Excelで学ぶOR (2011)
  • Author(s): 藤澤克樹、後藤順哉、安井雄一郎
  • Total Pages: 310
  • Publisher: オーム社
• [Book] 意思決定のための数理モデル入門 (2011)
  • Author(s): 今野浩、後藤順哉
  • Total Pages: 157
  • Publisher: 朝倉書店
• [Remarks] Jun-ya Gotoh's Homepage
  • URL: http://www.indsys.chuo-u.ac.jp/~jgoto/
• [Remarks] Jun-ya Gotoh's Homepage
  • URL: http://www.indsys.chuo-u.ac.jp/~jgoto/