{"id":"https://openalex.org/W98320494","doi":null,"title":"New algorithms for optimal portfolio selection","display_name":"New algorithms for optimal portfolio selection","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W98320494","mag":"98320494"},"language":"en","primary_location":{"id":"mag:98320494","doi":null,"is_oa":false,"landing_page_url":"https://digitalcommons.utep.edu/open_etd/303/","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"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/A5049702218","display_name":"Francois P. Modave","orcid":"https://orcid.org/0000-0003-4366-0757","observed_orcids":["https://orcid.org/0000-0003-4366-0757"]},"institutions":[{"id":"https://openalex.org/I164936912","display_name":"The University of Texas at El Paso","ror":"https://ror.org/04d5vba33","country_code":"US","type":"education","lineage":["https://openalex.org/I164936912"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Fran\u00e7ois Modave","raw_affiliation_strings":["[The University of Texas at El Paso]"],"raw_orcid":"https://orcid.org/0000-0003-4366-0757","affiliations":[{"raw_affiliation_string":"[The University of Texas at El Paso]","institution_ids":["https://openalex.org/I164936912"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045150730","display_name":"Tanja Mago\u010d","orcid":"https://orcid.org/0000-0001-8213-2266","observed_orcids":["https://orcid.org/0000-0001-8213-2266"]},"institutions":[{"id":"https://openalex.org/I164936912","display_name":"The University of Texas at El Paso","ror":"https://ror.org/04d5vba33","country_code":"US","type":"education","lineage":["https://openalex.org/I164936912"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tanja Mago\u010d","raw_affiliation_strings":["[The University of Texas at El Paso]"],"raw_orcid":"https://orcid.org/0000-0001-8213-2266","affiliations":[{"raw_affiliation_string":"[The University of Texas at El Paso]","institution_ids":["https://openalex.org/I164936912"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I164936912"],"apc_list":null,"apc_paid":null,"fwci":1.3384,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.81419425,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9970999956130981,"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":0.9970999956130981,"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/T10100","display_name":"Metaheuristic Optimization Algorithms Research","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":9.999999747378752e-05,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.9919999837875366},{"id":"https://openalex.org/keywords/risk-return-trade-off","display_name":"risk-return tradeoff","score":0.7770000100135803},{"id":"https://openalex.org/keywords/fuzzy-measures","display_name":"fuzzy measures","score":0.9980000257492065},{"id":"https://openalex.org/keywords/risk-minimization","display_name":"risk minimization","score":0.6029999852180481}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6608628630638123},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6433222889900208},{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.592470645904541},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.5107624530792236},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.49472686648368835},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.4835212230682373},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.44883036613464355},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4377145767211914},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.4332853853702545},{"id":"https://openalex.org/C30755413","wikidata":"https://www.wikidata.org/wiki/Q1245402","display_name":"Risk\u2013return spectrum","level":3,"score":0.4311586916446686},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.42548608779907227},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.33832240104675293},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3191717565059662},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31872326135635376},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2845500111579895},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.25415289402008057},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.1493547558784485},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:98320494","doi":null,"is_oa":false,"landing_page_url":"https://digitalcommons.utep.edu/open_etd/303/","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W14512847","https://openalex.org/W32692342","https://openalex.org/W296311487","https://openalex.org/W1495023480","https://openalex.org/W1516590979","https://openalex.org/W1526278715","https://openalex.org/W1526491974","https://openalex.org/W1530734209","https://openalex.org/W1539218351","https://openalex.org/W1548139318","https://openalex.org/W1565377632","https://openalex.org/W1568285589","https://openalex.org/W1812117731","https://openalex.org/W1857789879","https://openalex.org/W1920661432","https://openalex.org/W1993029797","https://openalex.org/W2007454907","https://openalex.org/W2034099719","https://openalex.org/W2035023489","https://openalex.org/W2040870580","https://openalex.org/W2059507684","https://openalex.org/W2078213402","https://openalex.org/W2120271349","https://openalex.org/W2120499560","https://openalex.org/W2131773668","https://openalex.org/W2142443831","https://openalex.org/W2153896808","https://openalex.org/W2165817097","https://openalex.org/W2171619059","https://openalex.org/W2523440281","https://openalex.org/W2554891695","https://openalex.org/W3023540311","https://openalex.org/W3043771091","https://openalex.org/W3064258349","https://openalex.org/W4239510810"],"related_works":["https://openalex.org/W2883255779","https://openalex.org/W584348688","https://openalex.org/W3086075611","https://openalex.org/W7039920674","https://openalex.org/W2520186018","https://openalex.org/W6998615091","https://openalex.org/W2268026384","https://openalex.org/W1004965307","https://openalex.org/W197338075","https://openalex.org/W6941329060"],"abstract_inverted_index":{"Over":[0],"the":[1,73,79,97,126,131,134,140,148,163,179,204,210,231,235,275,284,289,292,296,308],"past":[2],"four":[3],"thousand":[4],"years,":[5],"numerous":[6],"techniques":[7,19,32,46,281,302],"have":[8,47,315],"been":[9,48],"developed":[10,49],"and":[11,24,41,52,57,92,197,233,249,291,338],"used":[12,305],"to":[13,50,106,118,129,174,229,244,274,282,306],"address":[14,68],"problems":[15],"in":[16,69,93,145],"Finance.":[17],"These":[18,168],"include":[20],"simple":[21],"arithmetic":[22],"calculations":[23],"probabilistic":[25],"methods":[26],"as":[27,29,34,120,123,242],"well":[28],"intelligent":[30,279],"systems":[31],"such":[33,241],"neural":[35],"networks,":[36],"genetic":[37],"algorithms,":[38],"multi-agent":[39],"systems,":[40],"support":[42],"vector":[43],"machines.":[44],"The":[45,111],"accurately":[51,91],"quickly":[53],"collect,":[54],"validate,":[55],"analyze,":[56],"integrate":[58],"data":[59],"that":[60,66,86,89,139,253,303],"change":[61],"dynamically.":[62],"\r\nThe":[63,301],"particular":[64],"problem":[65,80,135,272,309],"we":[67,136,322],"this":[70],"dissertation":[71],"is":[72,117,128,138,189,209,219,227],"construction":[74],"of":[75,81,100,114,150,203,206,212,251,277,298,310],"efficient":[76],"algorithms":[77,88],"for":[78],"an":[82,207,266,299],"optimal":[83,311],"portfolio":[84,247,312],"selection,":[85],"is,":[87],"would":[90],"real":[94],"time":[95,243],"determine":[96],"best":[98,285],"distribution":[99],"wealth":[101,122],"among":[102,257],"several":[103],"investment":[104],"assets":[105],"achieve":[107],"a":[108,190,216,222,269,324],"specific":[109],"goal.":[110],"main":[112],"goal":[113,127],"making":[115,332],"investments":[116,255],"gain":[119],"much":[121],"possible,":[124],"therefore":[125,198],"maximize":[130,230],"return.":[132],"However,":[133,214],"face":[137],"investors":[141],"do":[142],"not":[143],"know":[144],"advance":[146],"what":[147],"return":[149,169,218,232,290],"each":[151,166,194,200],"asset":[152,267],"will":[153],"be,":[154],"but":[155,177],"rather":[156],"there":[157,188],"are":[158,259,304],"some":[159],"educated":[160],"predictions":[161,170],"about":[162],"returns":[164],"from":[165],"asset.":[167,201],"might":[171,183],"turn":[172],"out":[173],"be":[175,184],"correct,":[176],"on":[178,295],"other":[180],"hand,":[181],"they":[182],"completely":[185],"wrong.":[186],"Thus,":[187,225],"risk":[191,236,293],"associated":[192,220],"with":[193,199,221],"predicted":[195],"return,":[196],"One":[202],"goals":[205],"investor":[208],"minimization":[211],"risk.":[213,224],"usually,":[215],"higher":[217,223],"it":[226],"impossible":[228],"minimize":[234],"independently.":[237],"Moreover,":[238],"additional":[239],"characteristics,":[240],"maturity,":[245],"preferred":[246],"structure,":[248],"reputations":[250],"companies":[252],"sell":[254],"asset,":[256],"others,":[258],"also":[260],"considered":[261],"before":[262],"locking":[263],"money":[264],"into":[265],"or":[268],"portfolio.":[270],"This":[271],"leads":[273],"necessity":[276],"developing":[278],"system":[280],"find":[283],"trade":[286],"off":[287],"between":[288],"based":[294],"preferences":[297],"investor.":[300],"solve":[307,319],"selection":[313],"all":[314],"their":[316],"drawbacks.":[317],"To":[318],"these":[320],"problems,":[321],"propose":[323],"new":[325],"approach":[326],"driven":[327],"by":[328],"utility-based":[329],"multi-criteria":[330],"decision":[331],"setting,":[333],"which":[334],"utilizes":[335],"fuzzy":[336],"measures":[337],"integration":[339],"over":[340],"intervals.":[341]},"counts_by_year":[],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}
