{"id":"https://openalex.org/W1563709142","doi":"https://doi.org/10.1007/3-540-32539-5_36","title":"Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model","display_name":"Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model","publication_year":2006,"publication_date":"2006-09-11","ids":{"openalex":"https://openalex.org/W1563709142","doi":"https://doi.org/10.1007/3-540-32539-5_36","mag":"1563709142"},"language":"en","primary_location":{"id":"doi:10.1007/3-540-32539-5_36","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-32539-5_36","pdf_url":null,"source":{"id":"https://openalex.org/S4210184104","display_name":"Operations research proceedings","issn_l":"0721-5924","issn":["0721-5924","2197-9294"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research Proceedings","raw_type":"book-chapter"},"type":"book-chapter","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/A5017316801","display_name":"J\u00f6rn Sa\u00df","orcid":"https://orcid.org/0000-0003-3432-4997"},"institutions":[{"id":"https://openalex.org/I4210158379","display_name":"Johann Radon Institute for Computational and Applied Mathematics","ror":"https://ror.org/05a94k872","country_code":"AT","type":"facility","lineage":["https://openalex.org/I138211613","https://openalex.org/I4210158379"]},{"id":"https://openalex.org/I138211613","display_name":"Austrian Academy of Sciences","ror":"https://ror.org/03anc3s24","country_code":"AT","type":"funder","lineage":["https://openalex.org/I138211613"]}],"countries":["AT"],"is_corresponding":true,"raw_author_name":"J\u00f6rn Sass","raw_affiliation_strings":["RICAM, Austrian Academy of Sciences, Altenberger Str. 69, A-4040, Linz"],"affiliations":[{"raw_affiliation_string":"RICAM, Austrian Academy of Sciences, Altenberger Str. 69, A-4040, Linz","institution_ids":["https://openalex.org/I138211613","https://openalex.org/I4210158379"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5017316801"],"corresponding_institution_ids":["https://openalex.org/I138211613","https://openalex.org/I4210158379"],"apc_list":null,"apc_paid":null,"fwci":0.8769,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.80495478,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"223","last_page":"228"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9988999962806702,"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":0.9988999962806702,"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":0.989799976348877,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9872000217437744,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.8353803157806396},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6150763034820557},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5963823795318604},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5771744251251221},{"id":"https://openalex.org/keywords/regular-polygon","display_name":"Regular polygon","score":0.5626771450042725},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5441845059394836},{"id":"https://openalex.org/keywords/convex-optimization","display_name":"Convex optimization","score":0.5309504866600037},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5012109279632568},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.461967408657074},{"id":"https://openalex.org/keywords/forward-algorithm","display_name":"Forward algorithm","score":0.43409648537635803},{"id":"https://openalex.org/keywords/markov-model","display_name":"Markov model","score":0.34332215785980225},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2866450548171997},{"id":"https://openalex.org/keywords/variable-order-markov-model","display_name":"Variable-order Markov model","score":0.2737343907356262},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.22948697209358215},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21667605638504028},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20260709524154663},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.17313766479492188},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.16982024908065796}],"concepts":[{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.8353803157806396},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6150763034820557},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5963823795318604},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5771744251251221},{"id":"https://openalex.org/C112680207","wikidata":"https://www.wikidata.org/wiki/Q714886","display_name":"Regular polygon","level":2,"score":0.5626771450042725},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5441845059394836},{"id":"https://openalex.org/C157972887","wikidata":"https://www.wikidata.org/wiki/Q463359","display_name":"Convex optimization","level":3,"score":0.5309504866600037},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5012109279632568},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.461967408657074},{"id":"https://openalex.org/C196455857","wikidata":"https://www.wikidata.org/wiki/Q5473264","display_name":"Forward algorithm","level":5,"score":0.43409648537635803},{"id":"https://openalex.org/C163836022","wikidata":"https://www.wikidata.org/wiki/Q6771326","display_name":"Markov model","level":3,"score":0.34332215785980225},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2866450548171997},{"id":"https://openalex.org/C54907487","wikidata":"https://www.wikidata.org/wiki/Q7915688","display_name":"Variable-order Markov model","level":4,"score":0.2737343907356262},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.22948697209358215},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21667605638504028},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20260709524154663},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17313766479492188},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.16982024908065796},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/3-540-32539-5_36","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-32539-5_36","pdf_url":null,"source":{"id":"https://openalex.org/S4210184104","display_name":"Operations research proceedings","issn_l":"0721-5924","issn":["0721-5924","2197-9294"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research Proceedings","raw_type":"book-chapter"},{"id":"pmh:oai:RePEc:spr:oprchp:978-3-540-32539-0_36","is_oa":false,"landing_page_url":null,"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,"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":"book"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":6,"referenced_works":["https://openalex.org/W59236590","https://openalex.org/W946979310","https://openalex.org/W2055319722","https://openalex.org/W2059402723","https://openalex.org/W2110607806","https://openalex.org/W4236844787"],"related_works":["https://openalex.org/W2161328464","https://openalex.org/W2382132287","https://openalex.org/W1510894296","https://openalex.org/W2076166534","https://openalex.org/W2593596363","https://openalex.org/W3044198794","https://openalex.org/W4302561434","https://openalex.org/W2738224259","https://openalex.org/W2116722627","https://openalex.org/W2389824789"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}