{"id":"https://openalex.org/W2151704366","doi":"https://doi.org/10.1057/palgrave.jam.2240207","title":"Incorporating estimation errors into portfolio selection: Robust portfolio construction","display_name":"Incorporating estimation errors into portfolio selection: Robust portfolio construction","publication_year":2006,"publication_date":"2006-07-01","ids":{"openalex":"https://openalex.org/W2151704366","doi":"https://doi.org/10.1057/palgrave.jam.2240207","mag":"2151704366"},"language":"en","primary_location":{"id":"doi:10.1057/palgrave.jam.2240207","doi":"https://doi.org/10.1057/palgrave.jam.2240207","is_oa":false,"landing_page_url":"https://doi.org/10.1057/palgrave.jam.2240207","pdf_url":null,"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":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108791219","display_name":"Sebasti\u00e1n Ceria","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Sebasti\u00e1n Ceria","raw_affiliation_strings":["Axioma. Inc., 100 5th Avenue, Suite 901, New York, 10011, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Axioma. Inc., 100 5th Avenue, Suite 901, New York, 10011, NY, USA","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5025292326","display_name":"Robert A. Stubbs","orcid":"https://orcid.org/0009-0007-4053-492X","observed_orcids":["https://orcid.org/0009-0007-4053-492X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Robert A Stubbs","raw_affiliation_strings":["Axioma. Inc., 100 5th Avenue, Suite 901, New York, 10011, NY, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Axioma. Inc., 100 5th Avenue, Suite 901, New York, 10011, NY, USA","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5108791219"],"corresponding_institution_ids":[],"apc_list":{"value":3190,"currency":"USD","value_usd":3190},"apc_paid":null,"fwci":11.6044,"has_fulltext":false,"cited_by_count":182,"citation_normalized_percentile":{"value":0.98537651,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":100},"biblio":{"volume":"7","issue":"2","first_page":"109","last_page":"127"},"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/T10047","display_name":"Financial Markets and Investment Strategies","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":0.6639999747276306},{"id":"https://openalex.org/keywords/estimation-error","display_name":"estimation error","score":0.906000018119812},{"id":"https://openalex.org/keywords/parameter-uncertainty","display_name":"parameter uncertainty","score":0.8700000047683716},{"id":"https://openalex.org/keywords/mean-variance-optimization","display_name":"mean-variance optimization","score":0.7390000224113464},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"robust optimization","score":0.7450000047683716},{"id":"https://openalex.org/keywords/portfolio-constraints","display_name":"portfolio constraints","score":0.4000000059604645},{"id":"https://openalex.org/keywords/uncertainty-regions","display_name":"uncertainty regions","score":0.6290000081062317}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.721869945526123},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6924222707748413},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5751972794532776},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5742241144180298},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5036496520042419},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.49604567885398865},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.4639911651611328},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.4370206594467163},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.4310901463031769},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4136591851711273},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3882974684238434},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3414517045021057},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25995588302612305},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09377241134643555},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.08885449171066284},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1057/palgrave.jam.2240207","doi":"https://doi.org/10.1057/palgrave.jam.2240207","is_oa":false,"landing_page_url":"https://doi.org/10.1057/palgrave.jam.2240207","pdf_url":null,"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:2006:i:2:d:10.1057_palgrave.jam.2240207","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1057/palgrave.jam.2240207","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":[],"sustainable_development_goals_aurora":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.47999998927116394}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1878131045","https://openalex.org/W1973491767","https://openalex.org/W1988008345","https://openalex.org/W2016980223","https://openalex.org/W2035238076","https://openalex.org/W2062143325","https://openalex.org/W2069099760","https://openalex.org/W2094038915","https://openalex.org/W2101898852","https://openalex.org/W2105235982","https://openalex.org/W2120263304","https://openalex.org/W2131868098","https://openalex.org/W2139472163","https://openalex.org/W2164883547","https://openalex.org/W3124947999","https://openalex.org/W3125435015"],"related_works":["https://openalex.org/W2621224962","https://openalex.org/W3123979261","https://openalex.org/W7101144626","https://openalex.org/W2087009359","https://openalex.org/W4410197388","https://openalex.org/W2204062399","https://openalex.org/W3021970279","https://openalex.org/W7119540667","https://openalex.org/W7097958779","https://openalex.org/W2737874613"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":13},{"year":2016,"cited_by_count":21},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":8},{"year":2013,"cited_by_count":14},{"year":2012,"cited_by_count":13}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}