{"id":"https://openalex.org/W2087009359","doi":"https://doi.org/10.1057/palgrave.jam.2250049","title":"Can robust portfolio optimisation help to build better portfolios?","display_name":"Can robust portfolio optimisation help to build better portfolios?","publication_year":2007,"publication_date":"2007-03-01","ids":{"openalex":"https://openalex.org/W2087009359","doi":"https://doi.org/10.1057/palgrave.jam.2250049","mag":"2087009359"},"language":"en","primary_location":{"id":"doi:10.1057/palgrave.jam.2250049","doi":"https://doi.org/10.1057/palgrave.jam.2250049","is_oa":true,"landing_page_url":"https://doi.org/10.1057/palgrave.jam.2250049","pdf_url":"https://link.springer.com/content/pdf/10.1057/palgrave.jam.2250049.pdf","source":{"id":"https://openalex.org/S206916388","display_name":"Journal of Asset Management","issn_l":"1470-8272","issn":["1470-8272","1479-179X"],"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-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319702","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319702","https://openalex.org/P4310319964"],"host_organization_lineage_names":["Palgrave Macmillan","Macmillan Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asset Management","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://link.springer.com/content/pdf/10.1057/palgrave.jam.2250049.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083521992","display_name":"Bernd Scherer","orcid":"https://orcid.org/0000-0001-6926-5347","observed_orcids":["https://orcid.org/0000-0001-6926-5347"]},"institutions":[{"id":"https://openalex.org/I4210125307","display_name":"Morgan Stanley (United Kingdom)","ror":"https://ror.org/03csd5507","country_code":"GB","type":"company","lineage":["https://openalex.org/I2802755631","https://openalex.org/I4210125307"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Bernd Scherer","raw_affiliation_strings":["Managing Director, Morgan Stanley, IM-Alternative Investments, 20 Bank Street, Canary Wharf, E14 4QW, London","Managing Director, Morgan Stanley, IM-Alternative Investments, London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Managing Director, Morgan Stanley, IM-Alternative Investments, 20 Bank Street, Canary Wharf, E14 4QW, London","institution_ids":["https://openalex.org/I4210125307"]},{"raw_affiliation_string":"Managing Director, Morgan Stanley, IM-Alternative Investments, London","institution_ids":["https://openalex.org/I4210125307"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5083521992"],"corresponding_institution_ids":["https://openalex.org/I4210125307"],"apc_list":{"value":3190,"currency":"USD","value_usd":3190},"apc_paid":null,"fwci":2.8706,"has_fulltext":true,"cited_by_count":61,"citation_normalized_percentile":{"value":0.90448209,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"7","issue":"6","first_page":"374","last_page":"387"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994999766349792,"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":0.9994999766349792,"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":9.999999747378752e-05,"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":9.999999747378752e-05,"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/estimation-error","display_name":"estimation error","score":0.9089999794960022},{"id":"https://openalex.org/keywords/uncertainty-aversion","display_name":"uncertainty aversion","score":0.9639999866485596},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"risk aversion","score":0.8980000019073486},{"id":"https://openalex.org/keywords/out-of-sample-performance","display_name":"out-of-sample performance","score":0.9850000143051147},{"id":"https://openalex.org/keywords/portfolio-construction","display_name":"portfolio construction","score":0.7599999904632568},{"id":"https://openalex.org/keywords/parameter-calibration","display_name":"parameter calibration","score":0.6330000162124634}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6524254679679871},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.558012068271637},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.5299544930458069},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5155634880065918},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.5092190504074097},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4529501497745514},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4527192711830139},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43769416213035583},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.4298243224620819},{"id":"https://openalex.org/C22019652","wikidata":"https://www.wikidata.org/wiki/Q331309","display_name":"Overfitting","level":3,"score":0.4175790250301361},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.31628161668777466},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23898440599441528},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.18817508220672607},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.16012632846832275},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1278497278690338},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.10293534398078918},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1057/palgrave.jam.2250049","doi":"https://doi.org/10.1057/palgrave.jam.2250049","is_oa":true,"landing_page_url":"https://doi.org/10.1057/palgrave.jam.2250049","pdf_url":"https://link.springer.com/content/pdf/10.1057/palgrave.jam.2250049.pdf","source":{"id":"https://openalex.org/S206916388","display_name":"Journal of Asset Management","issn_l":"1470-8272","issn":["1470-8272","1479-179X"],"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-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319702","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319702","https://openalex.org/P4310319964"],"host_organization_lineage_names":["Palgrave Macmillan","Macmillan Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asset Management","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:pal:assmgt:v:7:y:2007:i:6:d:10.1057_palgrave.jam.2250049","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1057/palgrave.jam.2250049","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":{"id":"doi:10.1057/palgrave.jam.2250049","doi":"https://doi.org/10.1057/palgrave.jam.2250049","is_oa":true,"landing_page_url":"https://doi.org/10.1057/palgrave.jam.2250049","pdf_url":"https://link.springer.com/content/pdf/10.1057/palgrave.jam.2250049.pdf","source":{"id":"https://openalex.org/S206916388","display_name":"Journal of Asset Management","issn_l":"1470-8272","issn":["1470-8272","1479-179X"],"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-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319702","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319702","https://openalex.org/P4310319964"],"host_organization_lineage_names":["Palgrave Macmillan","Macmillan Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asset Management","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/16","score":0.46000000834465027,"display_name":"Peace, justice, and strong institutions"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2087009359.pdf","grobid_xml":"https://content.openalex.org/works/W2087009359.grobid-xml"},"referenced_works_count":16,"referenced_works":["https://openalex.org/W166751945","https://openalex.org/W411168830","https://openalex.org/W1525854150","https://openalex.org/W1565005487","https://openalex.org/W2013433393","https://openalex.org/W2021472931","https://openalex.org/W2027047704","https://openalex.org/W2036410360","https://openalex.org/W2067477904","https://openalex.org/W2131387435","https://openalex.org/W2140917889","https://openalex.org/W2934944248","https://openalex.org/W3123331292","https://openalex.org/W4246506621","https://openalex.org/W4299440932","https://openalex.org/W4388113448"],"related_works":["https://openalex.org/W2151704366","https://openalex.org/W2621224962","https://openalex.org/W3021970279","https://openalex.org/W2285304653","https://openalex.org/W7015060657","https://openalex.org/W7119540667","https://openalex.org/W3072904058","https://openalex.org/W2216766766","https://openalex.org/W4410197388","https://openalex.org/W4384826939"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":5},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":6}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}