{"id":"https://openalex.org/W2029945117","doi":"https://doi.org/10.1142/s0219024911006267","title":"INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA","display_name":"INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA","publication_year":2011,"publication_date":"2011-02-01","ids":{"openalex":"https://openalex.org/W2029945117","doi":"https://doi.org/10.1142/s0219024911006267","mag":"2029945117"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024911006267","doi":"https://doi.org/10.1142/s0219024911006267","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024911006267","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","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/A5021502795","display_name":"Marek Musiela","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210125967","display_name":"BNP Paribas (United Kingdom)","ror":"https://ror.org/02nncgd63","country_code":"GB","type":"company","lineage":["https://openalex.org/I4210125967","https://openalex.org/I95549939"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"M. MUSIELA","raw_affiliation_strings":["BNP Paribas, 10 Harewood Avenue, London NW1 6AA, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"BNP Paribas, 10 Harewood Avenue, London NW1 6AA, UK","institution_ids":["https://openalex.org/I4210125967"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066116626","display_name":"Thaleia Zariphopoulou","orcid":"https://orcid.org/0000-0002-4213-3720","observed_orcids":["https://orcid.org/0000-0002-4213-3720"]},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]},{"id":"https://openalex.org/I86519309","display_name":"The University of Texas at Austin","ror":"https://ror.org/00hj54h04","country_code":"US","type":"education","lineage":["https://openalex.org/I86519309"]}],"countries":["GB","US"],"is_corresponding":false,"raw_author_name":"T. ZARIPHOPOULOU","raw_affiliation_strings":["Departments of Mathematics and IROM, The University of Texas at Austin, 1 University Station, Austin, TX 78712, USA","Oxford-Man Institute of Quantitative Finance, Eagle House, Walton Well Road, Oxford OX2 6ED, UK","The Mathematical Institute, University of Oxford, Oxford, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Departments of Mathematics and IROM, The University of Texas at Austin, 1 University Station, Austin, TX 78712, USA","institution_ids":["https://openalex.org/I86519309"]},{"raw_affiliation_string":"Oxford-Man Institute of Quantitative Finance, Eagle House, Walton Well Road, Oxford OX2 6ED, UK","institution_ids":["https://openalex.org/I40120149"]},{"raw_affiliation_string":"The Mathematical Institute, University of Oxford, Oxford, UK","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.0872,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.85268303,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"14","issue":"01","first_page":"61","last_page":"81"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9330999851226807,"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"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9330999851226807,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.05739999935030937,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017000000225380063,"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/portfolio-optimization","display_name":"portfolio optimization","score":0.9670000076293945},{"id":"https://openalex.org/keywords/backward-heat-equation","display_name":"backward heat equation","score":0.9879999756813049},{"id":"https://openalex.org/keywords/nonlinear-partial-differential-equations","display_name":"nonlinear partial differential equations","score":0.7099999785423279},{"id":"https://openalex.org/keywords/optimal-investment-strategy","display_name":"optimal investment strategy","score":0.640999972820282}],"concepts":[{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.8134905099868774},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6925647854804993},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.6423888802528381},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6258211731910706},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5258598327636719},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4716077446937561},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4489698112010956},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44406819343566895},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4182490110397339},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.33184927701950073},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33042263984680176},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.32613667845726013},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12216490507125854},{"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/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0219024911006267","doi":"https://doi.org/10.1142/s0219024911006267","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024911006267","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006267","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024911006267","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"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W125067906","https://openalex.org/W195033016","https://openalex.org/W287106121","https://openalex.org/W383892817","https://openalex.org/W585390010","https://openalex.org/W1595299803","https://openalex.org/W1984697146","https://openalex.org/W2064699431","https://openalex.org/W2100359260","https://openalex.org/W2123227539","https://openalex.org/W2124702171","https://openalex.org/W2157935728","https://openalex.org/W2170031024","https://openalex.org/W2488273306","https://openalex.org/W4302984596"],"related_works":["https://openalex.org/W6931804456","https://openalex.org/W287106121","https://openalex.org/W2064699431","https://openalex.org/W2371273428","https://openalex.org/W1595299803","https://openalex.org/W7098741938","https://openalex.org/W2780925299","https://openalex.org/W4286632104","https://openalex.org/W125067906","https://openalex.org/W1484490578"],"abstract_inverted_index":{"The":[0,76],"paper":[1],"offers":[2],"a":[3,82],"new":[4],"perspective":[5],"on":[6,41,51],"optimal":[7,32,73],"portfolio":[8,33],"choice":[9,24],"by":[10,86],"investigating":[11],"how":[12],"and":[13,91],"to":[14,28],"what":[15],"extent":[16],"knowledge":[17],"of":[18,36,62],"an":[19],"investor's":[20],"desirable":[21],"initial":[22,67],"investment":[23,37,45,74],"can":[25],"be":[26],"used":[27],"determine":[29],"his":[30],"future":[31,72],"allocations.":[34],"Optimality":[35],"decisions":[38],"is":[39,56],"built":[40],"the":[42,52,65,71,79,87,92],"so-called":[43],"forward":[44,63],"performance":[46],"criteria":[47,64],"and,":[48],"in":[49],"particular,":[50],"time-monotone":[53],"ones.":[54],"It":[55],"shown":[57],"that":[58],"for":[59],"this":[60],"class":[61],"desired":[66],"allocations":[68],"completely":[69],"characterize":[70],"strategies.":[75],"analysis":[77],"uses":[78],"connection":[80],"between":[81],"nonlinear":[83],"equation,":[84],"satisfied":[85],"local":[88],"risk":[89],"tolerance,":[90],"backward":[93],"heat":[94],"equation.":[95],"Complete":[96],"solutions":[97],"are":[98],"provided":[99],"as":[100,102],"well":[101],"various":[103],"examples.":[104]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
