{"id":"https://openalex.org/W4200375304","doi":"https://doi.org/10.1080/14697688.2021.1987506","title":"Portfolio insurers and constant weight traders: who will survive?","display_name":"Portfolio insurers and constant weight traders: who will survive?","publication_year":2021,"publication_date":"2021-12-02","ids":{"openalex":"https://openalex.org/W4200375304","doi":"https://doi.org/10.1080/14697688.2021.1987506"},"language":"en","primary_location":{"id":"doi:10.1080/14697688.2021.1987506","doi":"https://doi.org/10.1080/14697688.2021.1987506","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2021.1987506","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hdl.handle.net/11576/2733662","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5014772981","display_name":"Emilio Barucci","orcid":"https://orcid.org/0000-0003-4405-5487","observed_orcids":["https://orcid.org/0000-0003-4405-5487"]},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Emilio Barucci","raw_affiliation_strings":["Department of Mathematics, Politecnico di Milano, via Bonardi 9, 20133 Milano, Italy"],"raw_orcid":"https://orcid.org/0000-0003-4405-5487","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Politecnico di Milano, via Bonardi 9, 20133 Milano, Italy","institution_ids":["https://openalex.org/I93860229"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082877579","display_name":"Pietro Dindo","orcid":"https://orcid.org/0000-0002-8563-8630","observed_orcids":["https://orcid.org/0000-0002-8563-8630"]},"institutions":[{"id":"https://openalex.org/I149461666","display_name":"Ca' Foscari University of Venice","ror":"https://ror.org/04yzxz566","country_code":"IT","type":"education","lineage":["https://openalex.org/I149461666"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Pietro Dindo","raw_affiliation_strings":["Department of Economics, Ca' Foscari University of Venice, Fondamenta San Giobbe, 30121 Venezia, Italy"],"raw_orcid":"https://orcid.org/0000-0002-8563-8630","affiliations":[{"raw_affiliation_string":"Department of Economics, Ca' Foscari University of Venice, Fondamenta San Giobbe, 30121 Venezia, Italy","institution_ids":["https://openalex.org/I149461666"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5040167241","display_name":"Francesca Grassetti","orcid":"https://orcid.org/0000-0001-8703-3232","observed_orcids":["https://orcid.org/0000-0001-8703-3232"]},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Francesca Grassetti","raw_affiliation_strings":["Department of Mathematics, Politecnico di Milano, via Bonardi 9, 20133 Milano, Italy"],"raw_orcid":"https://orcid.org/0000-0001-8703-3232","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Politecnico di Milano, via Bonardi 9, 20133 Milano, Italy","institution_ids":["https://openalex.org/I93860229"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5040167241"],"corresponding_institution_ids":["https://openalex.org/I93860229"],"apc_list":null,"apc_paid":null,"fwci":0.2,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.60840071,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":92},"biblio":{"volume":"21","issue":"12","first_page":"1993","last_page":"2004"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8148999810218811,"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":0.8148999810218811,"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":0.11760000139474869,"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":0.04749999940395355,"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-insurance","display_name":"portfolio insurance","score":0.9660000205039978},{"id":"https://openalex.org/keywords/risky-assets","display_name":"risky assets","score":0.6019999980926514}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7549594640731812},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.7286248207092285},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5964845418930054},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5593194365501404},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.47036927938461304},{"id":"https://openalex.org/C2983001568","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Investment portfolio","level":3,"score":0.46196362376213074},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.425538569688797},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3750508725643158},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.35822829604148865},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3212037682533264},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.08078879117965698},{"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/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"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/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1080/14697688.2021.1987506","doi":"https://doi.org/10.1080/14697688.2021.1987506","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2021.1987506","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:quantf:v:21:y:2021:i:12:p:1993-2004","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/14697688.2021.1987506","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"},{"id":"pmh:oai:iris.unical.it:20.500.11770/347428","doi":null,"is_oa":false,"landing_page_url":"https://hdl.handle.net/20.500.11770/347428","pdf_url":null,"source":{"id":"https://openalex.org/S4377196898","display_name":"Archive of Doctoral Theses and Digital Collections (University of Calabria)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I45204951","host_organization_name":"University of Calabria","host_organization_lineage":["https://openalex.org/I45204951"],"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":"info:eu-repo/semantics/article"},{"id":"pmh:oai:iris.unive.it:10278/3754966","doi":null,"is_oa":false,"landing_page_url":"https://hdl.handle.net/10278/3754966","pdf_url":null,"source":{"id":"https://openalex.org/S4306402336","display_name":"ARCA (Universit\u00e0 Ca' Foscari Venezia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I149461666","host_organization_name":"Ca' Foscari University of Venice","host_organization_lineage":["https://openalex.org/I149461666"],"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":"info:eu-repo/semantics/article"},{"id":"pmh:oai:ora.uniurb.it:11576/2733662","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/11576/2733662","pdf_url":null,"source":{"id":"https://openalex.org/S4377196377","display_name":"CINECA IRIS Institutional Research information system (University of Urbino)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I190397597","host_organization_name":"University of Urbino","host_organization_lineage":["https://openalex.org/I190397597"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:re.public.polimi.it:11311/1191917","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/11311/1191917","pdf_url":null,"source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"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":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:ora.uniurb.it:11576/2733662","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/11576/2733662","pdf_url":null,"source":{"id":"https://openalex.org/S4377196377","display_name":"CINECA IRIS Institutional Research information system (University of Urbino)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I190397597","host_organization_name":"University of Urbino","host_organization_lineage":["https://openalex.org/I190397597"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1966701888","https://openalex.org/W1978484117","https://openalex.org/W1984697146","https://openalex.org/W1988295558","https://openalex.org/W2005158847","https://openalex.org/W2037102228","https://openalex.org/W2046913100","https://openalex.org/W2062544113","https://openalex.org/W2068841402","https://openalex.org/W2072036066","https://openalex.org/W2110393192","https://openalex.org/W2141127618","https://openalex.org/W2159754748","https://openalex.org/W2761102845","https://openalex.org/W2961414369","https://openalex.org/W3021665648","https://openalex.org/W3122132984","https://openalex.org/W3122352796","https://openalex.org/W3122929545","https://openalex.org/W3124796477","https://openalex.org/W3125208590","https://openalex.org/W4229815463"],"related_works":["https://openalex.org/W3139079907","https://openalex.org/W1968049364","https://openalex.org/W2006260848","https://openalex.org/W1681227170","https://openalex.org/W3142764553","https://openalex.org/W1809674708","https://openalex.org/W650084870","https://openalex.org/W4379141497","https://openalex.org/W2335150585","https://openalex.org/W2012092883"],"abstract_inverted_index":{"Both":[0],"portfolio":[1],"insurers":[2],"and":[3,18],"constant":[4],"weight":[5],"traders":[6],"investment":[7],"strategies":[8],"survive":[9],"for":[10,23],"low":[11],"expected":[12,25],"log":[13,26],"returns":[14,27],"of":[15],"risky":[16],"assets":[17],"dominate":[19],"on":[20],"different":[21],"paths":[22],"high":[24]},"counts_by_year":[{"year":2021,"cited_by_count":1}],"updated_date":"2026-11-06T12:05:46.655746","created_date":"2021-12-31T00:00:00"}
