{"id":"https://openalex.org/W1497980393","doi":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","title":"Roy\u2019s Safety\u2010First Portfolio Principle in Financial Risk Management of Disastrous Events","display_name":"Roy\u2019s Safety\u2010First Portfolio Principle in Financial Risk Management of Disastrous Events","publication_year":2012,"publication_date":"2012-02-10","ids":{"openalex":"https://openalex.org/W1497980393","doi":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","mag":"1497980393","pmid":"https://pubmed.ncbi.nlm.nih.gov/22324563"},"language":"en","primary_location":{"id":"doi:10.1111/j.1539-6924.2011.01751.x","doi":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","pdf_url":null,"source":{"id":"https://openalex.org/S161248890","display_name":"Risk Analysis","issn_l":"0272-4332","issn":["0272-4332","1539-6924"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","doyens","jufo-1","ki-jl-1","medline","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","pubmed"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017689258","display_name":"Mei Choi Chiu","orcid":"https://orcid.org/0000-0003-2799-8360","observed_orcids":["https://orcid.org/0000-0003-2799-8360"]},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Mei Choi Chiu","raw_affiliation_strings":["Department of Statistics, The Chinese University of Hong Kong, Hong Kong","Chinese University of Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, The Chinese University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I177725633"]},{"raw_affiliation_string":"Chinese University of Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072737565","display_name":"Hoi Ying Wong","orcid":"https://orcid.org/0000-0001-9743-1832","observed_orcids":["https://orcid.org/0000-0001-9743-1832"]},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Hoi Ying Wong","raw_affiliation_strings":["Department of Statistics, The Chinese University of Hong Kong, Hong Kong","Chinese University of Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, The Chinese University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I177725633"]},{"raw_affiliation_string":"Chinese University of Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100745907","display_name":"Duan Li","orcid":"https://orcid.org/0000-0001-9786-6238","observed_orcids":["https://orcid.org/0000-0001-9786-6238"]},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Duan Li","raw_affiliation_strings":["Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong","Chinese University of Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I177725633"]},{"raw_affiliation_string":"Chinese University of Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100745907"],"corresponding_institution_ids":["https://openalex.org/I177725633"],"apc_list":{"value":4880,"currency":"USD","value_usd":4880},"apc_paid":null,"fwci":3.3888,"has_fulltext":false,"cited_by_count":42,"citation_normalized_percentile":{"value":0.91836612,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"32","issue":"11","first_page":"1856","last_page":"1872"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9653000235557556,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9653000235557556,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.028999999165534973,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.0032999999821186066,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/disaster-risk-management","display_name":"disaster risk management","score":0.6890000104904175},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.5950000286102295},{"id":"https://openalex.org/keywords/asset-liability-management","display_name":"asset-liability management","score":0.8270000219345093},{"id":"https://openalex.org/keywords/pension-funds","display_name":"pension funds","score":0.9679999947547913},{"id":"https://openalex.org/keywords/martingale-approach","display_name":"martingale approach","score":0.8270000219345093},{"id":"https://openalex.org/keywords/continuous-time-portfolio-optimization","display_name":"continuous-time portfolio optimization","score":0.6460000276565552}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7084478139877319},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.7078930139541626},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.5408592224121094},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.49983692169189453},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4488796889781952},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.4482010304927826},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4375305771827698},{"id":"https://openalex.org/C8505890","wikidata":"https://www.wikidata.org/wiki/Q605095","display_name":"Budget constraint","level":2,"score":0.43735644221305847},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3949896991252899},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38418447971343994},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3468461036682129},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.33252376317977905},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22476506233215332},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.19966968894004822},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.1504269242286682},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.10770535469055176},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[{"descriptor_ui":"D004190","descriptor_name":"Disasters","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D005376","descriptor_name":"Financial Management","qualifier_ui":"Q000458","qualifier_name":"organization & administration","is_major_topic":true},{"descriptor_ui":"D008962","descriptor_name":"Models, Theoretical","qualifier_ui":null,"qualifier_name":null,"is_major_topic":true},{"descriptor_ui":"D012308","descriptor_name":"Risk Management","qualifier_ui":"Q000458","qualifier_name":"organization & administration","is_major_topic":true}],"locations_count":2,"locations":[{"id":"doi:10.1111/j.1539-6924.2011.01751.x","doi":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1539-6924.2011.01751.x","pdf_url":null,"source":{"id":"https://openalex.org/S161248890","display_name":"Risk Analysis","issn_l":"0272-4332","issn":["0272-4332","1539-6924"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","doyens","jufo-1","ki-jl-1","medline","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk Analysis","raw_type":"journal-article"},{"id":"pmid:22324563","doi":null,"is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/22324563","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Risk analysis : an official publication of the Society for Risk Analysis","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.7300000190734863,"display_name":"Climate action","id":"https://metadata.un.org/sdg/13"}],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320322942","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W1517144227","https://openalex.org/W1539652966","https://openalex.org/W1647779468","https://openalex.org/W1821315764","https://openalex.org/W1973484304","https://openalex.org/W1979553061","https://openalex.org/W1980314087","https://openalex.org/W1988936876","https://openalex.org/W1992694830","https://openalex.org/W1995423233","https://openalex.org/W2002788332","https://openalex.org/W2003943366","https://openalex.org/W2004727703","https://openalex.org/W2006776755","https://openalex.org/W2039643614","https://openalex.org/W2048207845","https://openalex.org/W2060622579","https://openalex.org/W2062544113","https://openalex.org/W2070807633","https://openalex.org/W2080704658","https://openalex.org/W2082568669","https://openalex.org/W2088686090","https://openalex.org/W2091892261","https://openalex.org/W2120926346","https://openalex.org/W2132621139","https://openalex.org/W2136005111","https://openalex.org/W2142859812","https://openalex.org/W2154115836","https://openalex.org/W2170206178","https://openalex.org/W2170245236","https://openalex.org/W2170707681","https://openalex.org/W2888699453","https://openalex.org/W3121342156","https://openalex.org/W3123052191","https://openalex.org/W3123552065","https://openalex.org/W3124407081","https://openalex.org/W3124522512","https://openalex.org/W3124756721","https://openalex.org/W4214890097","https://openalex.org/W4232474910","https://openalex.org/W4238035223","https://openalex.org/W4292083418","https://openalex.org/W4298041729","https://openalex.org/W4301484873"],"related_works":["https://openalex.org/W2067832542","https://openalex.org/W1979553061","https://openalex.org/W2060691938","https://openalex.org/W4256190247","https://openalex.org/W1966019405","https://openalex.org/W2466955743","https://openalex.org/W119426769","https://openalex.org/W2347453124","https://openalex.org/W1975819111","https://openalex.org/W1987734564"],"abstract_inverted_index":{"Roy":[0],"pioneers":[1],"the":[2,32,38,42,46,61,79,84,93,105,121,125,131,149,160,171,188,191,202],"concept":[3],"and":[4,41,68,73,147,179,194,204],"practice":[5,90],"of":[6,9,124,144,190,199],"risk":[7],"management":[8],"disastrous":[10],"events":[11],"via":[12],"his":[13,21],"safety-first":[14,22,63,151,172,192],"principle":[15,23,64,193],"for":[16,201],"portfolio":[17,27],"selection.":[18],"More":[19],"specifically,":[20],"advocates":[24],"an":[25,156,182],"optimal":[26,183],"strategy":[28],"generated":[29],"from":[30,82,139,207],"minimizing":[31],"disaster":[33,56,206],"probability,":[34],"while":[35],"subject":[36],"to":[37,91,99,109,168,180],"budget":[39],"constraint":[40,44],"mean":[43,85,132],"that":[45,78,185],"expected":[47],"final":[48],"wealth":[49],"is":[50],"not":[51],"less":[52],"than":[53],"a":[54,88,100,110,115,136,140,176,196],"preselected":[55],"level.":[57,162],"This":[58,163],"article":[59],"studies":[60],"dynamic":[62],"in":[65,71],"continuous":[66],"time":[67],"its":[69],"application":[70],"asset":[72],"liability":[74],"management.":[75],"We":[76],"reveal":[77],"distortion":[80],"resulting":[81],"dropping":[83],"constraint,":[86,133],"as":[87],"common":[89],"approximate":[92],"original":[94,150],"Roy's":[95],"setting,":[96],"either":[97],"leads":[98],"trivial":[101],"case":[102],"or":[103],"changes":[104],"problem":[106,174],"nature":[107,123,198],"completely":[108,170],"target-reaching":[111],"problem,":[112],"which":[113],"produces":[114],"highly":[116],"leveraged":[117],"trading":[118],"strategy.":[119],"Recognizing":[120],"ill-posed":[122],"corresponding":[126],"Lagrangian":[127],"method":[128],"when":[129],"retaining":[130],"we":[134],"invoke":[135],"wisdom":[137],"observed":[138],"limited":[141],"funding-level":[142],"regulation":[143],"pension":[145],"funds":[146],"modify":[148],"formulation":[152],"accordingly":[153],"by":[154,175],"imposing":[155],"upper":[157],"bound":[158],"on":[159],"funding":[161],"model":[164],"revision":[165],"enables":[166],"us":[167],"solve":[169],"asset-liability":[173],"martingale":[177],"approach":[178],"derive":[181],"policy":[184],"follows":[186],"faithfully":[187],"spirit":[189],"demonstrates":[195],"prominent":[197],"fighting":[200],"best":[203],"preventing":[205],"happening.":[208]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":5},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-31T12:09:11.096373","created_date":"2016-06-24T00:00:00"}
