{"id":"https://openalex.org/W2476900428","doi":"https://doi.org/10.1007/978-3-319-40506-3_1","title":"A SimILS-Based Methodology for a Portfolio Optimization Problem with Stochastic Returns","display_name":"A SimILS-Based Methodology for a Portfolio Optimization Problem with Stochastic Returns","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2476900428","doi":"https://doi.org/10.1007/978-3-319-40506-3_1","mag":"2476900428"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-40506-3_1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-40506-3_1","pdf_url":null,"source":{"id":"https://openalex.org/S4210177767","display_name":"Lecture notes in business information processing","issn_l":"1865-1348","issn":["1865-1348","1865-1356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Business Information Processing","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/A5055069535","display_name":"Laura Calvet","orcid":"https://orcid.org/0000-0001-8425-1381"},"institutions":[{"id":"https://openalex.org/I138847295","display_name":"Universitat Oberta de Catalunya","ror":"https://ror.org/01f5wp925","country_code":"ES","type":"education","lineage":["https://openalex.org/I138847295"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Laura Calvet","raw_affiliation_strings":["Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain","institution_ids":["https://openalex.org/I138847295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5038743850","display_name":"Renatas Kizys","orcid":"https://orcid.org/0000-0001-9104-1809"},"institutions":[{"id":"https://openalex.org/I63072094","display_name":"University of Portsmouth","ror":"https://ror.org/03ykbk197","country_code":"GB","type":"education","lineage":["https://openalex.org/I63072094"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Renatas Kizys","raw_affiliation_strings":["Subject Group of Economics and Finance, University of Portsmouth, Portsmouth, UK"],"affiliations":[{"raw_affiliation_string":"Subject Group of Economics and Finance, University of Portsmouth, Portsmouth, UK","institution_ids":["https://openalex.org/I63072094"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080136207","display_name":"\u00c1ngel A. Juan","orcid":"https://orcid.org/0000-0003-1392-1776"},"institutions":[{"id":"https://openalex.org/I138847295","display_name":"Universitat Oberta de Catalunya","ror":"https://ror.org/01f5wp925","country_code":"ES","type":"education","lineage":["https://openalex.org/I138847295"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Angel A. Juan","raw_affiliation_strings":["Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain","institution_ids":["https://openalex.org/I138847295"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5027426973","display_name":"J\u00e9sica de Armas","orcid":"https://orcid.org/0000-0002-7619-7407"},"institutions":[{"id":"https://openalex.org/I138847295","display_name":"Universitat Oberta de Catalunya","ror":"https://ror.org/01f5wp925","country_code":"ES","type":"education","lineage":["https://openalex.org/I138847295"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Jesica de Armas","raw_affiliation_strings":["Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain"],"affiliations":[{"raw_affiliation_string":"Computer Science Department, Open University of Catalonia-IN3, Barcelona, Spain","institution_ids":["https://openalex.org/I138847295"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5055069535"],"corresponding_institution_ids":["https://openalex.org/I138847295"],"apc_list":null,"apc_paid":null,"fwci":1.6693,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.83756439,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"3","last_page":"11"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9995999932289124,"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":0.9995999932289124,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9887999892234802,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.982699990272522,"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-optimization","display_name":"Portfolio optimization","score":0.75157231092453},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.7096714973449707},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6798357963562012},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5889124274253845},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.5133671164512634},{"id":"https://openalex.org/keywords/metaheuristic","display_name":"Metaheuristic","score":0.5116782188415527},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.5086365938186646},{"id":"https://openalex.org/keywords/iterated-function","display_name":"Iterated function","score":0.49903321266174316},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.4863620400428772},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.46272411942481995},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4501594305038452},{"id":"https://openalex.org/keywords/stochastic-optimization","display_name":"Stochastic optimization","score":0.4381955862045288},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.41544926166534424},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.36779457330703735},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33605650067329407},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2683800458908081},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.22002297639846802},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.10593867301940918}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.75157231092453},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.7096714973449707},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6798357963562012},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5889124274253845},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.5133671164512634},{"id":"https://openalex.org/C109718341","wikidata":"https://www.wikidata.org/wiki/Q1385229","display_name":"Metaheuristic","level":2,"score":0.5116782188415527},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.5086365938186646},{"id":"https://openalex.org/C140479938","wikidata":"https://www.wikidata.org/wiki/Q5254619","display_name":"Iterated function","level":2,"score":0.49903321266174316},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.4863620400428772},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46272411942481995},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4501594305038452},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.4381955862045288},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.41544926166534424},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36779457330703735},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33605650067329407},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2683800458908081},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.22002297639846802},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.10593867301940918},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-319-40506-3_1","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-40506-3_1","pdf_url":null,"source":{"id":"https://openalex.org/S4210177767","display_name":"Lecture notes in business information processing","issn_l":"1865-1348","issn":["1865-1348","1865-1356"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Business Information Processing","raw_type":"book-chapter"},{"id":"pmh:oai:eprints.soton.ac.uk:434501","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401019","display_name":"ePrints Soton (University of Southampton)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I43439940","host_organization_name":"University of Southampton","host_organization_lineage":["https://openalex.org/I43439940"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"","raw_type":"Conference or Workshop Item"},{"id":"pmh:oai:researchportal.port.ac.uk:publications/85c79106-9e08-4174-8c17-e9ca25781454","is_oa":false,"landing_page_url":"https://researchportal.port.ac.uk/portal/en/publications/a-similsbased-methodology-for-a-portfolio-optimization-problem-with-stochastic-returns(85c79106-9e08-4174-8c17-e9ca25781454).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401774","display_name":"Portsmouth Research Portal (University of Portsmouth)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I63072094","host_organization_name":"University of Portsmouth","host_organization_lineage":["https://openalex.org/I63072094"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1483132876","https://openalex.org/W1613273921","https://openalex.org/W1977380994","https://openalex.org/W2046609661","https://openalex.org/W2073103707","https://openalex.org/W2091937574","https://openalex.org/W2118044993","https://openalex.org/W2148948822","https://openalex.org/W2151237529","https://openalex.org/W2161778699","https://openalex.org/W2165129372","https://openalex.org/W2166029977","https://openalex.org/W2183741016","https://openalex.org/W3121748795","https://openalex.org/W4206279507","https://openalex.org/W4246565613"],"related_works":["https://openalex.org/W4327968198","https://openalex.org/W2489358856","https://openalex.org/W3198789915","https://openalex.org/W4386639229","https://openalex.org/W2742926032","https://openalex.org/W2331875448","https://openalex.org/W4235904655","https://openalex.org/W1671670423","https://openalex.org/W2985215029","https://openalex.org/W2113583687"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
