{"id":"https://openalex.org/W1991389557","doi":"https://doi.org/10.1016/j.jempfin.2009.09.002","title":"Risk management and dynamic portfolio selection with stable Paretian distributions","display_name":"Risk management and dynamic portfolio selection with stable Paretian distributions","publication_year":2009,"publication_date":"2009-09-20","ids":{"openalex":"https://openalex.org/W1991389557","doi":"https://doi.org/10.1016/j.jempfin.2009.09.002","mag":"1991389557"},"language":"en","primary_location":{"id":"doi:10.1016/j.jempfin.2009.09.002","doi":"https://doi.org/10.1016/j.jempfin.2009.09.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jempfin.2009.09.002","pdf_url":null,"source":{"id":"https://openalex.org/S145875555","display_name":"Journal of Empirical Finance","issn_l":"0927-5398","issn":["0927-5398","1879-1727"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Empirical Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"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/A5058734636","display_name":"Sergio Ortobelli Lozza","orcid":"https://orcid.org/0000-0003-4983-8165","observed_orcids":["https://orcid.org/0000-0003-4983-8165"]},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Sergio Ortobelli","raw_affiliation_strings":["Department MSIA, University of Bergamo, Via dei Caniana, 2 - 24127-Bergamo, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department MSIA, University of Bergamo, Via dei Caniana, 2 - 24127-Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055255067","display_name":"Svetlozar T. Rachev","orcid":"https://orcid.org/0000-0002-1823-7140","observed_orcids":["https://orcid.org/0000-0002-1823-7140","https://orcid.org/0000-0002-0869-4399"]},"institutions":[{"id":"https://openalex.org/I102335020","display_name":"Karlsruhe Institute of Technology","ror":"https://ror.org/04t3en479","country_code":"DE","type":"education","lineage":["https://openalex.org/I102335020","https://openalex.org/I1305996414"]},{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]}],"countries":["DE","US"],"is_corresponding":false,"raw_author_name":"Svetlozar T. Rachev","raw_affiliation_strings":["Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106-3110, USA","FinAnalytica Inc., Seattle, USA","School of Economics and Business Engineering, University of Karlsruhe and Karlsruhe Institute of Technology (KIT), Postfach 6980, 76128 Karlsruhe, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106-3110, USA","institution_ids":["https://openalex.org/I154570441"]},{"raw_affiliation_string":"FinAnalytica Inc., Seattle, USA","institution_ids":[]},{"raw_affiliation_string":"School of Economics and Business Engineering, University of Karlsruhe and Karlsruhe Institute of Technology (KIT), Postfach 6980, 76128 Karlsruhe, Germany","institution_ids":["https://openalex.org/I102335020"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465","observed_orcids":["https://orcid.org/0000-0002-2827-1465"]},"institutions":[{"id":"https://openalex.org/I32971472","display_name":"Yale University","ror":"https://ror.org/03v76x132","country_code":"US","type":"education","lineage":["https://openalex.org/I32971472"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["Yale School of Management, 135 Prospect Street, New Haven, CT 06520-8200, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Yale School of Management, 135 Prospect Street, New Haven, CT 06520-8200, USA","institution_ids":["https://openalex.org/I32971472"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5055304783"],"corresponding_institution_ids":["https://openalex.org/I32971472"],"apc_list":{"value":2940,"currency":"USD","value_usd":2940},"apc_paid":null,"fwci":1.7845,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.84808715,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"17","issue":"2","first_page":"195","last_page":"211"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.923799991607666,"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":0.923799991607666,"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":0.04670000076293945,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.012600000016391277,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/stable-paretian-distributions","display_name":"stable Paretian distributions","score":0.9929999709129333},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.6539999842643738},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.9229999780654907},{"id":"https://openalex.org/keywords/non-gaussian-returns","display_name":"non-Gaussian returns","score":0.6869999766349792},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.9179999828338623},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.699999988079071},{"id":"https://openalex.org/keywords/optimal-allocation","display_name":"optimal allocation","score":0.7329999804496765},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.906000018119812},{"id":"https://openalex.org/keywords/domain-of-attraction","display_name":"domain of attraction","score":0.6000000238418579}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6410146951675415},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6291849613189697},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5378270745277405},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.521925687789917},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.4632500410079956},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.42756780982017517},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.4258176386356354},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4185880422592163},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3348850607872009},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.24290773272514343},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.18237462639808655},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.jempfin.2009.09.002","doi":"https://doi.org/10.1016/j.jempfin.2009.09.002","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jempfin.2009.09.002","pdf_url":null,"source":{"id":"https://openalex.org/S145875555","display_name":"Journal of Empirical Finance","issn_l":"0927-5398","issn":["0927-5398","1879-1727"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Empirical Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:empfin:v:17:y:2010:i:2:p:195-211","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0927-5398(09)00065-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:aisberg.unibg.it:10446/24954","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10446/24954","pdf_url":null,"source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W45326702","https://openalex.org/W85255032","https://openalex.org/W95192712","https://openalex.org/W156265916","https://openalex.org/W590093142","https://openalex.org/W620299621","https://openalex.org/W1977970167","https://openalex.org/W1990549299","https://openalex.org/W1995118028","https://openalex.org/W2002054890","https://openalex.org/W2022894179","https://openalex.org/W2024163429","https://openalex.org/W2029134863","https://openalex.org/W2037997579","https://openalex.org/W2039874494","https://openalex.org/W2045345437","https://openalex.org/W2054342105","https://openalex.org/W2067184061","https://openalex.org/W2069319244","https://openalex.org/W2076209196","https://openalex.org/W2090637028","https://openalex.org/W2100406142","https://openalex.org/W2132621139","https://openalex.org/W2141863469","https://openalex.org/W2156280852","https://openalex.org/W2211965305","https://openalex.org/W2217204231","https://openalex.org/W2254463431","https://openalex.org/W2921029890","https://openalex.org/W3125246470","https://openalex.org/W4237060688","https://openalex.org/W4246756383","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2211965305","https://openalex.org/W45326702","https://openalex.org/W7100330132","https://openalex.org/W2085084749","https://openalex.org/W2742622954","https://openalex.org/W1981430493","https://openalex.org/W2130807276","https://openalex.org/W2931068625","https://openalex.org/W1974966562","https://openalex.org/W215278179"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
