{"id":"https://openalex.org/W2131500511","doi":"https://doi.org/10.1016/s0165-1889(99)00088-3","title":"Robust min\u2013max portfolio strategies for rival forecast and risk scenarios","display_name":"Robust min\u2013max portfolio strategies for rival forecast and risk scenarios","publication_year":2000,"publication_date":"2000-10-01","ids":{"openalex":"https://openalex.org/W2131500511","doi":"https://doi.org/10.1016/s0165-1889(99)00088-3","mag":"2131500511"},"language":"en","primary_location":{"id":"doi:10.1016/s0165-1889(99)00088-3","doi":"https://doi.org/10.1016/s0165-1889(99)00088-3","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0165-1889(99)00088-3","pdf_url":null,"source":{"id":"https://openalex.org/S44585919","display_name":"Journal of Economic Dynamics and Control","issn_l":"0165-1889","issn":["0165-1889","1879-1743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-2","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 Economic Dynamics and Control","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/A5005628088","display_name":"Ber\u00e7 R\u00fcstem","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Ber\u00e7 Rustem","raw_affiliation_strings":["Department of Computing, Imperial College, 180 Queen's Gate, London SW7 2BZ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computing, Imperial College, 180 Queen's Gate, London SW7 2BZ, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016141585","display_name":"Robin G. Becker","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405261348","display_name":"Warburg Institute","ror":"https://ror.org/055ttrf22","country_code":"GB","type":"facility","lineage":["https://openalex.org/I124357947","https://openalex.org/I2802488147","https://openalex.org/I4405261348"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Robin G. Becker","raw_affiliation_strings":["Warburg Dillon Read, 1 High Timber Street, London EC4V 3SB, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Warburg Dillon Read, 1 High Timber Street, London EC4V 3SB, UK","institution_ids":["https://openalex.org/I4405261348"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5080676346","display_name":"Wolfgang Marty","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4405261348","display_name":"Warburg Institute","ror":"https://ror.org/055ttrf22","country_code":"GB","type":"facility","lineage":["https://openalex.org/I124357947","https://openalex.org/I2802488147","https://openalex.org/I4405261348"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Wolfgang Marty","raw_affiliation_strings":["Warburg Dillon Read, 1 High Timber Street, London EC4V 3SB, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Warburg Dillon Read, 1 High Timber Street, London EC4V 3SB, UK","institution_ids":["https://openalex.org/I4405261348"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5005628088"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":{"value":3270,"currency":"USD","value_usd":3270},"apc_paid":null,"fwci":4.6663,"has_fulltext":false,"cited_by_count":80,"citation_normalized_percentile":{"value":0.94851884,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"24","issue":"11-12","first_page":"1591","last_page":"1621"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":1.0,"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":1.0,"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":0.0,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"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/robust-portfolio-selection","display_name":"robust portfolio selection","score":0.8999999761581421},{"id":"https://openalex.org/keywords/markowitz-mean-variance-model","display_name":"Markowitz mean-variance model","score":0.8930000066757202},{"id":"https://openalex.org/keywords/risk-scenarios","display_name":"risk scenarios","score":0.6890000104904175},{"id":"https://openalex.org/keywords/worst-case-optimization","display_name":"worst-case optimization","score":0.6079999804496765},{"id":"https://openalex.org/keywords/non-inferiority","display_name":"non-inferiority","score":0.7020000219345093}],"concepts":[{"id":"https://openalex.org/C70437156","wikidata":"https://www.wikidata.org/wiki/Q7228652","display_name":"Pooling","level":2,"score":0.7614868879318237},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.7418208718299866},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.7155567407608032},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.694820761680603},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5614804029464722},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5410110354423523},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5404952168464661},{"id":"https://openalex.org/C30755413","wikidata":"https://www.wikidata.org/wiki/Q1245402","display_name":"Risk\u2013return spectrum","level":3,"score":0.5119186639785767},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.49720218777656555},{"id":"https://openalex.org/C86637286","wikidata":"https://www.wikidata.org/wiki/Q7317264","display_name":"Rate of return","level":2,"score":0.43527036905288696},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4227808713912964},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.41135841608047485},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3619611859321594},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12133574485778809},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11393505334854126},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"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/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/s0165-1889(99)00088-3","doi":"https://doi.org/10.1016/s0165-1889(99)00088-3","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0165-1889(99)00088-3","pdf_url":null,"source":{"id":"https://openalex.org/S44585919","display_name":"Journal of Economic Dynamics and Control","issn_l":"0165-1889","issn":["0165-1889","1879-1743"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-1","poland-140","russia-white-list-2","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 Economic Dynamics and Control","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.297.2597","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.297.2597","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://pubs.doc.ic.ac.uk/rival-forecast-robust-portfolios/rival-forecast-robust-portfolios.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1591-1621","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0165-1889(99)00088-3","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":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W35651078","https://openalex.org/W87985779","https://openalex.org/W291003596","https://openalex.org/W621853947","https://openalex.org/W1544606593","https://openalex.org/W1980551102","https://openalex.org/W1985610252","https://openalex.org/W1989589595","https://openalex.org/W1999765316","https://openalex.org/W2005136695","https://openalex.org/W2010680506","https://openalex.org/W2018429185","https://openalex.org/W2022855030","https://openalex.org/W2023562587","https://openalex.org/W2025357746","https://openalex.org/W2038210983","https://openalex.org/W2041073707","https://openalex.org/W2048703065","https://openalex.org/W2049679581","https://openalex.org/W2056641273","https://openalex.org/W2063083810","https://openalex.org/W2064948689","https://openalex.org/W2065846434","https://openalex.org/W2069523436","https://openalex.org/W2078409719","https://openalex.org/W2085370962","https://openalex.org/W2089290259","https://openalex.org/W2120486584","https://openalex.org/W2128071598","https://openalex.org/W2159686234","https://openalex.org/W2270864342","https://openalex.org/W2315805880","https://openalex.org/W2316291708","https://openalex.org/W2476241358","https://openalex.org/W2499356185","https://openalex.org/W2615696058","https://openalex.org/W3106992008","https://openalex.org/W3124591393"],"related_works":["https://openalex.org/W1988719259","https://openalex.org/W2005447025","https://openalex.org/W1494473564","https://openalex.org/W152408488","https://openalex.org/W12258319","https://openalex.org/W3005254387","https://openalex.org/W2598699047","https://openalex.org/W2599614599","https://openalex.org/W2514227992","https://openalex.org/W2014000581"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
