{"id":"https://openalex.org/W1997298045","doi":"https://doi.org/10.4236/jmf.2011.12005","title":"A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis","display_name":"A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1997298045","doi":"https://doi.org/10.4236/jmf.2011.12005","mag":"1997298045"},"language":"en","primary_location":{"id":"doi:10.4236/jmf.2011.12005","doi":"https://doi.org/10.4236/jmf.2011.12005","is_oa":true,"landing_page_url":"https://doi.org/10.4236/jmf.2011.12005","pdf_url":"https://content.scirp.org/pdf/jmf20110200001_79486436.pdf","source":{"id":"https://openalex.org/S2764662244","display_name":"Journal of Mathematical Finance","issn_l":"2162-2442","issn":["2162-2442","2162-2434"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310320480","host_organization_name":"Scientific Research Publishing","host_organization_lineage":["https://openalex.org/P4310320480"],"host_organization_lineage_names":["Scientific Research Publishing"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Mathematical Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://content.scirp.org/pdf/jmf20110200001_79486436.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5048482213","display_name":"Theodoros Mavralexakis","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Theodoros Mavralexakis","raw_affiliation_strings":["Proton Bank, Risk Management Department, Athens, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Proton Bank, Risk Management Department, Athens, Greece","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080199844","display_name":"Konstantinos Kiriakopoulos","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Konstantinos Kiriakopoulos","raw_affiliation_strings":["Department of Regional Economic Development, University of Central Greece, Lamia, Greece","Proton Bank, Capital Markets, Athens, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Regional Economic Development, University of Central Greece, Lamia, Greece","institution_ids":[]},{"raw_affiliation_string":"Proton Bank, Capital Markets, Athens, Greece","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070505130","display_name":"George Kaimakamis","orcid":"https://orcid.org/0000-0002-7368-3442","observed_orcids":["https://orcid.org/0000-0002-7368-3442"]},"institutions":[{"id":"https://openalex.org/I24897511","display_name":"Hellenic Military Academy","ror":"https://ror.org/01esc8r67","country_code":"GR","type":"education","lineage":["https://openalex.org/I24897511"]}],"countries":["GR"],"is_corresponding":false,"raw_author_name":"George Kaimakamis","raw_affiliation_strings":["Department of Mathematics and Applied Mechanics, Hellenic Army Academy, Athens, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Applied Mechanics, Hellenic Army Academy, Athens, Greece","institution_ids":["https://openalex.org/I24897511"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5076496986","display_name":"Alexandros Koulis","orcid":"https://orcid.org/0000-0002-1576-5845","observed_orcids":["https://orcid.org/0000-0002-1576-5845"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Alexandros Koulis","raw_affiliation_strings":["Department of Regional Economic Development, University of Central Greece, Lamia, Greece"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Regional Economic Development, University of Central Greece, Lamia, Greece","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.8041,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.75019864,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":93},"biblio":{"volume":"01","issue":"02","first_page":"34","last_page":"39"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9984999895095825,"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":0.9984999895095825,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0007999999797903001,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0003000000142492354,"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/minimum-risk-portfolio","display_name":"minimum risk portfolio","score":0.9520000219345093},{"id":"https://openalex.org/keywords/credit-crunch","display_name":"credit crunch","score":0.6240000128746033},{"id":"https://openalex.org/keywords/financial-crises","display_name":"financial crisis","score":0.8109999895095825},{"id":"https://openalex.org/keywords/portfolio-construction","display_name":"portfolio construction","score":0.7630000114440918},{"id":"https://openalex.org/keywords/short-selling","display_name":"short selling","score":0.8579999804496765},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9660000205039978},{"id":"https://openalex.org/keywords/rebalancing-frequency","display_name":"rebalancing frequency","score":0.7789999842643738},{"id":"https://openalex.org/keywords/buy-and-hold-strategy","display_name":"buy-and-hold strategy","score":0.7699999809265137},{"id":"https://openalex.org/keywords/portfolio-performance","display_name":"portfolio performance","score":0.7120000123977661}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7990922331809998},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6426731944084167},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.6295424103736877},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.6189380884170532},{"id":"https://openalex.org/C2780614964","wikidata":"https://www.wikidata.org/wiki/Q811154","display_name":"Crunch","level":2,"score":0.5025935173034668},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.49854350090026855},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47752586007118225},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.45469987392425537},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4373822510242462},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4166017174720764},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.33490800857543945},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1467503011226654},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.1328699290752411},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C1862650","wikidata":"https://www.wikidata.org/wiki/Q186005","display_name":"Physical therapy","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.4236/jmf.2011.12005","doi":"https://doi.org/10.4236/jmf.2011.12005","is_oa":true,"landing_page_url":"https://doi.org/10.4236/jmf.2011.12005","pdf_url":"https://content.scirp.org/pdf/jmf20110200001_79486436.pdf","source":{"id":"https://openalex.org/S2764662244","display_name":"Journal of Mathematical Finance","issn_l":"2162-2442","issn":["2162-2442","2162-2434"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310320480","host_organization_name":"Scientific Research Publishing","host_organization_lineage":["https://openalex.org/P4310320480"],"host_organization_lineage_names":["Scientific Research Publishing"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Mathematical Finance","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.4236/jmf.2011.12005","doi":"https://doi.org/10.4236/jmf.2011.12005","is_oa":true,"landing_page_url":"https://doi.org/10.4236/jmf.2011.12005","pdf_url":"https://content.scirp.org/pdf/jmf20110200001_79486436.pdf","source":{"id":"https://openalex.org/S2764662244","display_name":"Journal of Mathematical Finance","issn_l":"2162-2442","issn":["2162-2442","2162-2434"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310320480","host_organization_name":"Scientific Research Publishing","host_organization_lineage":["https://openalex.org/P4310320480"],"host_organization_lineage_names":["Scientific Research Publishing"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Mathematical Finance","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1997298045.pdf","grobid_xml":"https://content.openalex.org/works/W1997298045.grobid-xml"},"referenced_works_count":18,"referenced_works":["https://openalex.org/W130882606","https://openalex.org/W177354907","https://openalex.org/W315644267","https://openalex.org/W1551173921","https://openalex.org/W1551512854","https://openalex.org/W1567352800","https://openalex.org/W1647779468","https://openalex.org/W2019291268","https://openalex.org/W2059510344","https://openalex.org/W2105815023","https://openalex.org/W2154756406","https://openalex.org/W2163969674","https://openalex.org/W2343983622","https://openalex.org/W3122922664","https://openalex.org/W3122970373","https://openalex.org/W3124407081","https://openalex.org/W4232474910","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W7023803446","https://openalex.org/W7097954828","https://openalex.org/W2344891102","https://openalex.org/W7112345305","https://openalex.org/W3216357552","https://openalex.org/W4376603615","https://openalex.org/W7221741657","https://openalex.org/W2266526409","https://openalex.org/W656320111","https://openalex.org/W2074468963"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"the":[3,20,27,35,49,59,63,106],"behaviour":[4],"of":[5],"various":[6],"popular":[7],"risk":[8],"portfolios":[9,30],"measures":[10],"used":[11],"for":[12],"portfolio":[13,46,54,60],"construction":[14],"are":[15,25],"compared":[16],"using":[17],"data":[18],"from":[19],"recent":[21],"financial":[22],"crisis.":[23],"Results":[24],"revealing":[26],"way":[28],"optimal":[29,99],"should":[31],"be":[32,88],"constructed.":[33],"Despite":[34],"conventional":[36,107],"wisdom,":[37],"short":[38,67],"selling":[39],"gives":[40],"only":[41],"a":[42,79],"marginal":[43],"improvement":[44],"to":[45,75,78,87,96],"performance":[47,76],"during":[48],"crisis":[50],"period.":[51],"Optimal":[52],"semivariance":[53],"produces":[55],"better":[56],"results":[57],"than":[58],"constructed":[61],"with":[62,90],"more":[64],"advanced":[65],"expected":[66],"fall":[68],"method.":[69],"Additional":[70],"historical":[71],"information":[72],"has":[73],"added":[74],"up":[77],"point":[80,100],"and":[81,109],"long":[82],"dated":[83],"history":[84],"seems":[85,95],"not":[86],"commensurate":[89],"additional":[91],"benefits.":[92],"Rebalancing":[93],"frequency":[94],"have":[97],"an":[98],"that":[101],"favours":[102],"neither":[103],"overtrading":[104],"nor":[105],"buy":[108],"hold":[110],"strategy.":[111]},"counts_by_year":[{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-12T12:28:57.059296","created_date":"2016-06-24T00:00:00"}