{"id":"https://openalex.org/W2904547038","doi":"https://doi.org/10.1007/978-981-13-3441-2_12","title":"Improved Conditional Value-at-Risk (CVaR) Based Method for Diversified Bond Portfolio Optimization","display_name":"Improved Conditional Value-at-Risk (CVaR) Based Method for Diversified Bond Portfolio Optimization","publication_year":2018,"publication_date":"2018-12-10","ids":{"openalex":"https://openalex.org/W2904547038","doi":"https://doi.org/10.1007/978-981-13-3441-2_12","mag":"2904547038"},"language":"en","primary_location":{"id":"doi:10.1007/978-981-13-3441-2_12","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-981-13-3441-2_12","pdf_url":null,"source":{"id":"https://openalex.org/S2764900261","display_name":"Communications in computer and information science","issn_l":"1865-0929","issn":["1865-0929","1865-0937"],"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":"Communications in Computer and Information Science","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/A5027931506","display_name":"Nor Idayu Mat Rifin","orcid":null},"institutions":[{"id":"https://openalex.org/I4210138650","display_name":"Universiti Teknologi MARA System","ror":"https://ror.org/030847t23","country_code":"MY","type":"education","lineage":["https://openalex.org/I4210138650"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Nor Idayu Mat Rifin","raw_affiliation_strings":["Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia"],"affiliations":[{"raw_affiliation_string":"Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia","institution_ids":["https://openalex.org/I4210138650"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5088838277","display_name":"Nuru\u2019l-\u2018Izzah Othman","orcid":null},"institutions":[{"id":"https://openalex.org/I82724352","display_name":"Universiti Teknologi MARA","ror":"https://ror.org/05n8tts92","country_code":"MY","type":"education","lineage":["https://openalex.org/I82724352"]}],"countries":["MY"],"is_corresponding":true,"raw_author_name":"Nuru\u2019l-\u2018Izzah Othman","raw_affiliation_strings":["Advanced Analytics Engineering Center (AAEC), Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, 40450, Shah Alam, Selangor, Malaysia"],"affiliations":[{"raw_affiliation_string":"Advanced Analytics Engineering Center (AAEC), Faculty of Computer and Mathematical Sciences, Universiti Teknologi MARA, 40450, Shah Alam, Selangor, Malaysia","institution_ids":["https://openalex.org/I82724352"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5091475430","display_name":"Shahirulliza Shamsul Ambia","orcid":null},"institutions":[{"id":"https://openalex.org/I4210138650","display_name":"Universiti Teknologi MARA System","ror":"https://ror.org/030847t23","country_code":"MY","type":"education","lineage":["https://openalex.org/I4210138650"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Shahirulliza Shamsul Ambia","raw_affiliation_strings":["Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia"],"affiliations":[{"raw_affiliation_string":"Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia","institution_ids":["https://openalex.org/I4210138650"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013022594","display_name":"Rashidah Ismail","orcid":null},"institutions":[{"id":"https://openalex.org/I4210138650","display_name":"Universiti Teknologi MARA System","ror":"https://ror.org/030847t23","country_code":"MY","type":"education","lineage":["https://openalex.org/I4210138650"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Rashidah Ismail","raw_affiliation_strings":["Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia"],"affiliations":[{"raw_affiliation_string":"Faculty of Computer and Mathematical Sciences, Shah Alam, Malaysia","institution_ids":["https://openalex.org/I4210138650"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5088838277"],"corresponding_institution_ids":["https://openalex.org/I82724352"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.17667537,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"149","last_page":"160"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987999796867371,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987999796867371,"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":0.9987000226974487,"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/T11365","display_name":"Islamic Finance and Banking Studies","score":0.9947999715805054,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.981748104095459},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6792152523994446},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6667890548706055},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.595130205154419},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.5838851928710938},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.46806517243385315},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4198302924633026},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24323812127113342},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.21266144514083862},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.13948678970336914},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.06392237544059753}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.981748104095459},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6792152523994446},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6667890548706055},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.595130205154419},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5838851928710938},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.46806517243385315},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4198302924633026},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24323812127113342},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21266144514083862},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.13948678970336914},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.06392237544059753}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-981-13-3441-2_12","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-981-13-3441-2_12","pdf_url":null,"source":{"id":"https://openalex.org/S2764900261","display_name":"Communications in computer and information science","issn_l":"1865-0929","issn":["1865-0929","1865-0937"],"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":"Communications in Computer and Information Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1585364329","https://openalex.org/W1647779468","https://openalex.org/W1947869163","https://openalex.org/W1954115509","https://openalex.org/W2005611689","https://openalex.org/W2019291268","https://openalex.org/W2133219138","https://openalex.org/W2142272528","https://openalex.org/W2147046365","https://openalex.org/W2153965738"],"related_works":["https://openalex.org/W4316167276","https://openalex.org/W2002736235","https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W2016139756","https://openalex.org/W2153830644","https://openalex.org/W2759984755","https://openalex.org/W2144846569","https://openalex.org/W3124086738","https://openalex.org/W3101533691"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}