{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T12:19:13Z","timestamp":1740140353774,"version":"3.37.3"},"reference-count":38,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2023,3,29]],"date-time":"2023-03-29T00:00:00Z","timestamp":1680048000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2023,3,29]],"date-time":"2023-03-29T00:00:00Z","timestamp":1680048000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"funder":[{"name":"Grant-in-Aid for Scientific Researc","award":["19K04888"],"award-info":[{"award-number":["19K04888"]}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2023,12]]},"DOI":"10.1007\/s10287-023-00450-6","type":"journal-article","created":{"date-parts":[[2023,3,29]],"date-time":"2023-03-29T08:02:56Z","timestamp":1680076976000},"update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation"],"prefix":"10.1007","volume":"20","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9044-454X","authenticated-orcid":false,"given":"Katsuhiro","family":"Tanaka","sequence":"first","affiliation":[]},{"given":"Rei","family":"Yamamoto","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2023,3,29]]},"reference":[{"key":"450_CR1","doi-asserted-by":"publisher","first-page":"53","DOI":"10.1016\/0898-1221(90)90148-D","volume":"19","author":"F Al-Khayyal","year":"1990","unstructured":"Al-Khayyal F (1990) Jointly constrained bilinear programs and related problems: an overview. Comput Math Appl 19:53\u201362. https:\/\/doi.org\/10.1016\/0898-1221(90)90148-D","journal-title":"Comput Math Appl"},{"key":"450_CR2","unstructured":"Allison CF (2022) Package \u201csimmulticorrdata\u201d. https:\/\/cran.r-project.org\/web\/packages\/SimMultiCorrData\/SimMultiCorrData.pdf, accessed 14 Jan 2023"},{"key":"450_CR3","doi-asserted-by":"publisher","first-page":"589","DOI":"10.1111\/j.1540-6261.1968.tb00843.x","volume":"23","author":"EI Altman","year":"1968","unstructured":"Altman EI (1968) Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. J Finan 23:589\u2013609. https:\/\/doi.org\/10.1111\/j.1540-6261.1968.tb00843.x","journal-title":"J Finan"},{"key":"450_CR4","doi-asserted-by":"publisher","first-page":"365","DOI":"10.1007\/s10287-013-0175-5","volume":"11","author":"J Gotoh","year":"2014","unstructured":"Gotoh J, Takeda A, Yamamoto R (2014) Interaction between financial risk measures and machine learning methods. CMS 11:365\u2013402. https:\/\/doi.org\/10.1007\/s10287-013-0175-5","journal-title":"CMS"},{"key":"450_CR5","first-page":"1157","volume":"3","author":"J Guyon","year":"2003","unstructured":"Guyon J, Elisseeff A (2003) An introduction to variable and feature selection. J Mach Learn Res 3:1157\u20131182","journal-title":"J Mach Learn Res"},{"key":"450_CR6","unstructured":"IBM (2020) IBM ILOG CPLEX Optimization Studio. https:\/\/www.ibm.com\/products\/ilog-cplex-optimization-studio, Accessed 12 Mar 2021"},{"key":"450_CR7","doi-asserted-by":"publisher","first-page":"493","DOI":"10.1007\/s10287-003-0001-6","volume":"75","author":"K Kobayashi","year":"2020","unstructured":"Kobayashi K, Takano Y (2020) A branch-and-cut algorithm for solving mixed-integer semidefinite optimization problems. Comput Optim Appl 75:493\u2013513. https:\/\/doi.org\/10.1007\/s10287-003-0001-6","journal-title":"Comput Optim Appl"},{"key":"450_CR8","doi-asserted-by":"publisher","first-page":"469","DOI":"10.1007\/s10589-012-9508-5","volume":"55","author":"H Konno","year":"2013","unstructured":"Konno H, Saito M (2013) Classification of companies using maximal margin ellipsoidal surfaces. Comput Optim Appl 55:469\u2013480. https:\/\/doi.org\/10.1007\/s10589-012-9508-5","journal-title":"Comput Optim Appl"},{"key":"450_CR9","doi-asserted-by":"publisher","first-page":"121","DOI":"10.1007\/s10287-003-0001-6","volume":"2","author":"H Konno","year":"2002","unstructured":"Konno H, Wu D (2002) Estimation of failure probability using semi-definite programming (in Japanese). Jpn Soc Indust Appl Math 2:121\u2013134. https:\/\/doi.org\/10.1007\/s10287-003-0001-6","journal-title":"Jpn Soc Indust Appl Math"},{"key":"450_CR10","doi-asserted-by":"publisher","first-page":"339","DOI":"10.1007\/s10287-005-0038-9","volume":"2","author":"H Konno","year":"2005","unstructured":"Konno H, Yamamoto R (2005) Integer programming approaches in mean-risk models. CMS 2:339\u2013351. https:\/\/doi.org\/10.1007\/s10287-005-0038-9","journal-title":"CMS"},{"key":"450_CR11","doi-asserted-by":"publisher","first-page":"273","DOI":"10.1007\/s10898-008-9323-9","volume":"44","author":"H Konno","year":"2008","unstructured":"Konno H, Yamamoto R (2008) Choosing the best set of variables in regression analysis using integer programming. J Global Optim 44:273\u2013282. https:\/\/doi.org\/10.1007\/s10898-008-9323-9","journal-title":"J Global Optim"},{"key":"450_CR12","doi-asserted-by":"publisher","first-page":"141","DOI":"10.1023\/A:1021985014197","volume":"25","author":"H Konno","year":"2003","unstructured":"Konno H, Kawadai N, Tuy H (2003) Cutting plane algorithms for nonlinear semi-definite programming problems with applications. J Global Optim 25:141\u2013155. https:\/\/doi.org\/10.1023\/A:1021985014197","journal-title":"J Global Optim"},{"key":"450_CR13","doi-asserted-by":"publisher","first-page":"59","DOI":"10.1007\/s10287-003-0001-6","volume":"1","author":"H Konno","year":"2003","unstructured":"Konno H, Kawadai N, Wu D (2003) Estimation of failure probability using semi-definite logit model. CMS 1:59\u201373. https:\/\/doi.org\/10.1007\/s10287-003-0001-6","journal-title":"CMS"},{"issue":"4","key":"450_CR14","doi-asserted-by":"publisher","first-page":"327","DOI":"10.1016\/S1057-5219(00)00039-9","volume":"19","author":"EK Laitinen","year":"2000","unstructured":"Laitinen EK, Laitinen T (2000) Bankruptcy prediction: Application of the taylor\u015b expansion in logistic regression. Int Rev Financ Anal 19(4):327\u2013349. https:\/\/doi.org\/10.1016\/S1057-5219(00)00039-9","journal-title":"Int Rev Financ Anal"},{"issue":"2","key":"450_CR15","doi-asserted-by":"publisher","first-page":"1077","DOI":"10.1137\/15M1042644","volume":"28","author":"A Mafusalov","year":"2018","unstructured":"Mafusalov A, Uryasev S (2018) Buffered probability of exceedance: mathematical properties and optimization. SIAM J Optim 28(2):1077\u20131103. https:\/\/doi.org\/10.1137\/15M1042644","journal-title":"SIAM J Optim"},{"issue":"3","key":"450_CR16","doi-asserted-by":"publisher","first-page":"15","DOI":"10.1016\/S0167-6377(98)00049-2","volume":"24","author":"O Mangasarian","year":"1999","unstructured":"Mangasarian O (1999) Arbitrary-norm separating plane. Oper Res Lett 24(3):15\u201323. https:\/\/doi.org\/10.1016\/S0167-6377(98)00049-2","journal-title":"Oper Res Lett"},{"issue":"2","key":"450_CR17","doi-asserted-by":"publisher","first-page":"147","DOI":"10.1007\/BF01580665","volume":"16","author":"GP McCormick","year":"1976","unstructured":"McCormick GP (1976) Computability of global solutions to factorable nonconvex programs: Part I-Convex underestimating problems. Math Program 16(2):147\u2013175","journal-title":"Math Program"},{"key":"450_CR18","doi-asserted-by":"publisher","first-page":"575","DOI":"10.1007\/s10107-018-1312-2","volume":"174","author":"M Norton","year":"2019","unstructured":"Norton M, Uryasev S (2019) Maximization of AUC and buffered AUC in binary classification. Math Program 174:575\u2013612. https:\/\/doi.org\/10.1007\/s10107-018-1312-2","journal-title":"Math Program"},{"key":"450_CR19","first-page":"1","volume":"18","author":"M Norton","year":"2017","unstructured":"Norton M, Mafusalov A, Uryasev S (2017) Soft margin support vector classification as buffered probability minimization. J Mach Learn Res 18:1\u201343","journal-title":"J Mach Learn Res"},{"key":"450_CR20","doi-asserted-by":"publisher","first-page":"1281","DOI":"10.1007\/s10479-019-03373-1","volume":"299","author":"M Norton","year":"2021","unstructured":"Norton M, Khokhlov V, Uryasev S (2021) Calculating CVAR and BPOE for common probability distributions with application to portfolio optimization and density estimation. Ann Oper Res 299:1281\u20131315. https:\/\/doi.org\/10.1007\/s10479-019-03373-1","journal-title":"Ann Oper Res"},{"issue":"3","key":"450_CR21","doi-asserted-by":"publisher","first-page":"63","DOI":"10.21314\/JCF.2009.206","volume":"12","author":"Y Okada","year":"2009","unstructured":"Okada Y, Konno H (2009) Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface. J Comput Finan 12(3):63\u201377. https:\/\/doi.org\/10.21314\/JCF.2009.206","journal-title":"J Comput Finan"},{"key":"450_CR22","first-page":"2825","volume":"12","author":"F Pedregosa","year":"2011","unstructured":"Pedregosa F, Varoquaux G, Gramfort A et al (2011) Scikit-learn: machine learning in Python. J Mach Learn Res 12:2825\u20132830","journal-title":"J Mach Learn Res"},{"issue":"106","key":"450_CR23","doi-asserted-by":"publisher","first-page":"097","DOI":"10.1016\/j.jbankfin.2021.106097","volume":"140","author":"G Pertaia","year":"2021","unstructured":"Pertaia G, Prokhorov A, Uryasev S (2021) A new approach to credit ratings. J Bank Finan 140(106):097. https:\/\/doi.org\/10.1016\/j.jbankfin.2021.106097","journal-title":"J Bank Finan"},{"issue":"5","key":"450_CR24","doi-asserted-by":"publisher","first-page":"499","DOI":"10.1016\/j.ress.2010.01.001","volume":"95","author":"T Rockafellar","year":"2010","unstructured":"Rockafellar T, Royset J (2010) On buffered failure probability in design and optimization of structures. Reliab Eng Syst Saf 95(5):499\u2013510. https:\/\/doi.org\/10.1016\/j.ress.2010.01.001","journal-title":"Reliab Eng Syst Saf"},{"issue":"3","key":"450_CR25","doi-asserted-by":"publisher","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"T Rockafellar","year":"2000","unstructured":"Rockafellar T, Uryasev S (2000) Optimization of conditional value-at-risk. J Risk 2(3):21\u201341. https:\/\/doi.org\/10.21314\/JOR.2000.038","journal-title":"J Risk"},{"key":"450_CR26","unstructured":"Ryan AP (2019) Package \u201cbestnormalize\u201d. https:\/\/cran.r-project.org\/web\/packages\/bestNormalize\/bestNormalize.pdf, accessed 26 Oct 2019"},{"key":"450_CR27","unstructured":"Saito M, Konno H (2009) Classification of companies using ellipsoidal surfaces. ISE 09-05, Department of Industrial and Systems Engineering, Chuo University"},{"key":"450_CR28","doi-asserted-by":"publisher","first-page":"25","DOI":"10.14495\/jsiaml.13.25","volume":"13","author":"M Saito","year":"2021","unstructured":"Saito M, Ohsato T, Yamanaka S (2021) An empirical evaluation of machine learning performance in corporate sales growth prediction. JSIAM Lett 13:25\u201328. https:\/\/doi.org\/10.14495\/jsiaml.13.25","journal-title":"JSIAM Lett"},{"key":"450_CR29","doi-asserted-by":"publisher","first-page":"89","DOI":"10.1016\/j.jbankfin.2014.12.003","volume":"52","author":"T Shaonan","year":"2015","unstructured":"Shaonan T, Yan U, Hui G (2015) Variable selection and corporate bankruptcy forecasts. J Bank Finan 52:89\u2013100. https:\/\/doi.org\/10.1016\/j.jbankfin.2014.12.003","journal-title":"J Bank Finan"},{"issue":"11","key":"450_CR30","first-page":"628","volume":"46","author":"H Shirakawa","year":"2001","unstructured":"Shirakawa H (2001) Credit risk management by scoring. Commun Op Res Jpn 46(11):628\u2013634","journal-title":"Commun Op Res Jpn"},{"key":"450_CR31","doi-asserted-by":"publisher","first-page":"92","DOI":"10.15807\/torsj.57.92","volume":"57","author":"K Tanaka","year":"2014","unstructured":"Tanaka K, Nakagawa H (2014) A method of corporate credit rating classification based on support vector machine and its validation in comparison of sequential logit model (in Japanese). Trans Op Res Soc Jpn 57:92\u2013111. https:\/\/doi.org\/10.15807\/torsj.57.92","journal-title":"Trans Op Res Soc Jpn"},{"key":"450_CR32","doi-asserted-by":"publisher","DOI":"10.1142\/S2424786321500420","author":"K Tanaka","year":"2022","unstructured":"Tanaka K, Yamamoto R (2022) Identification of best discrimination surface by mixed-integer semi-definite programming for support vector machine. Int J Financ Eng. https:\/\/doi.org\/10.1142\/S2424786321500420","journal-title":"Int J Financ Eng"},{"key":"450_CR33","unstructured":"Gurobi Optimization, Inc (2022) Gurobi Optimizer Reference Manual. https:\/\/www.gurobi.com, Accessed 21 Mar 2022"},{"key":"450_CR34","unstructured":"MOSEK ApS (2020) Mosek. https:\/\/www.mosek.com\/products\/mosek\/, Accessed 12 Mar 2021"},{"key":"450_CR35","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-3264-1","volume-title":"The nature of statistical learning theory","author":"V Vapnik","year":"1995","unstructured":"Vapnik V (1995) The nature of statistical learning theory. Springer-Verlag, New York. https:\/\/doi.org\/10.1007\/978-1-4757-3264-1"},{"issue":"4","key":"450_CR36","doi-asserted-by":"publisher","first-page":"129","DOI":"10.3390\/risks6040129","volume":"6","author":"X Wei","year":"2018","unstructured":"Wei X, Gotoh J, Uryyasev S (2018) Peer-to-peer lending: classification in the loan application process. Risk 6(4):129. https:\/\/doi.org\/10.3390\/risks6040129","journal-title":"Risk"},{"issue":"4","key":"450_CR37","doi-asserted-by":"publisher","first-page":"954","DOI":"10.1093\/biomet\/87.4.954","volume":"87","author":"IK Yeo","year":"2000","unstructured":"Yeo IK, Johnson RA (2000) A new family of power transformations to improve normality or symmetry. Biometrika 87(4):954\u2013959. https:\/\/doi.org\/10.1093\/biomet\/87.4.954","journal-title":"Biometrika"},{"issue":"2","key":"450_CR38","doi-asserted-by":"publisher","first-page":"301","DOI":"10.1111\/j.1467-9868.2005.00503.x","volume":"67","author":"H Zuo","year":"2005","unstructured":"Zuo H, Hastie T (2005) Regularization and variable selection via the elastic net. J Roy Stat Soc B 67(2):301\u2013320","journal-title":"J Roy Stat Soc B"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-023-00450-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10287-023-00450-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-023-00450-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,12,1]],"date-time":"2023-12-01T21:41:11Z","timestamp":1701466871000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10287-023-00450-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023,3,29]]},"references-count":38,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2023,12]]}},"alternative-id":["450"],"URL":"https:\/\/doi.org\/10.1007\/s10287-023-00450-6","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"type":"print","value":"1619-697X"},{"type":"electronic","value":"1619-6988"}],"subject":[],"published":{"date-parts":[[2023,3,29]]},"assertion":[{"value":"18 July 2022","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"4 March 2023","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"29 March 2023","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}],"article-number":"18"}}