{"id":"https://openalex.org/W2591653435","doi":"https://doi.org/10.1007/s00186-017-0580-6","title":"Optimal mean\u2013variance asset-liability management with stochastic interest rates and inflation risks","display_name":"Optimal mean\u2013variance asset-liability management with stochastic interest rates and inflation risks","publication_year":2017,"publication_date":"2017-03-06","ids":{"openalex":"https://openalex.org/W2591653435","doi":"https://doi.org/10.1007/s00186-017-0580-6","mag":"2591653435"},"language":"en","primary_location":{"id":"doi:10.1007/s00186-017-0580-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-017-0580-6","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},"type":"article","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/A5100992761","display_name":"Jian Pan","orcid":null},"institutions":[{"id":"https://openalex.org/I148128674","display_name":"University of Shanghai for Science and Technology","ror":"https://ror.org/00ay9v204","country_code":"CN","type":"education","lineage":["https://openalex.org/I148128674"]},{"id":"https://openalex.org/I4210119042","display_name":"Gannan Normal University","ror":"https://ror.org/02jf7e446","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210119042"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jian Pan","raw_affiliation_strings":["Business School, University of Shanghai for Science and Technology, Shanghai, China","College of Mathematics and Computer Science, Gannan Normal University, Ganzhou, Jiangxi, China"],"affiliations":[{"raw_affiliation_string":"Business School, University of Shanghai for Science and Technology, Shanghai, China","institution_ids":["https://openalex.org/I148128674"]},{"raw_affiliation_string":"College of Mathematics and Computer Science, Gannan Normal University, Ganzhou, Jiangxi, China","institution_ids":["https://openalex.org/I4210119042"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100541134","display_name":"Xiao Qing-xian","orcid":null},"institutions":[{"id":"https://openalex.org/I148128674","display_name":"University of Shanghai for Science and Technology","ror":"https://ror.org/00ay9v204","country_code":"CN","type":"education","lineage":["https://openalex.org/I148128674"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Qingxian Xiao","raw_affiliation_strings":["Business School, University of Shanghai for Science and Technology, Shanghai, China"],"affiliations":[{"raw_affiliation_string":"Business School, University of Shanghai for Science and Technology, Shanghai, China","institution_ids":["https://openalex.org/I148128674"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100992761"],"corresponding_institution_ids":["https://openalex.org/I148128674","https://openalex.org/I4210119042"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":3.8823,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.93399678,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"85","issue":"3","first_page":"491","last_page":"519"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"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":0.9990000128746033,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9984999895095825,"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"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9926000237464905,"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/efficient-frontier","display_name":"Efficient frontier","score":0.6379773616790771},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.6208490133285522},{"id":"https://openalex.org/keywords/interest-rate","display_name":"Interest rate","score":0.6022059917449951},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.5749872922897339},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.527877688407898},{"id":"https://openalex.org/keywords/liability","display_name":"Liability","score":0.5024392604827881},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4658869802951813},{"id":"https://openalex.org/keywords/inflation","display_name":"Inflation (cosmology)","score":0.4509321451187134},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.4456847906112671},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.42879486083984375},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.31493380665779114},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.267583429813385},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2604529857635498},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.23595014214515686},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.17149481177330017},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.09212028980255127},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07927602529525757}],"concepts":[{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.6379773616790771},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.6208490133285522},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.6022059917449951},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5749872922897339},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.527877688407898},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.5024392604827881},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4658869802951813},{"id":"https://openalex.org/C200941418","wikidata":"https://www.wikidata.org/wiki/Q273508","display_name":"Inflation (cosmology)","level":2,"score":0.4509321451187134},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.4456847906112671},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.42879486083984375},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31493380665779114},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.267583429813385},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2604529857635498},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.23595014214515686},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.17149481177330017},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.09212028980255127},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07927602529525757},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C33332235","wikidata":"https://www.wikidata.org/wiki/Q18362","display_name":"Theoretical physics","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00186-017-0580-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00186-017-0580-6","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0580-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00186-017-0580-6","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":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4300000071525574,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[{"id":"https://openalex.org/G3790060532","display_name":null,"funder_award_id":"No.11501125","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320327397","display_name":"Gannan Normal University","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W1192988821","https://openalex.org/W1494982173","https://openalex.org/W1503694755","https://openalex.org/W1507126399","https://openalex.org/W1534416612","https://openalex.org/W1557120076","https://openalex.org/W1972115786","https://openalex.org/W1977954009","https://openalex.org/W1980224247","https://openalex.org/W1987097469","https://openalex.org/W1988324927","https://openalex.org/W1988936876","https://openalex.org/W1992136278","https://openalex.org/W1994157038","https://openalex.org/W2002788332","https://openalex.org/W2007668684","https://openalex.org/W2022593559","https://openalex.org/W2048207845","https://openalex.org/W2068545243","https://openalex.org/W2081431450","https://openalex.org/W2086346897","https://openalex.org/W2090999679","https://openalex.org/W2157390830","https://openalex.org/W2170707681","https://openalex.org/W2218274622","https://openalex.org/W2335043180","https://openalex.org/W2526718376","https://openalex.org/W3021722416","https://openalex.org/W3121342156","https://openalex.org/W3121862195","https://openalex.org/W3122165909","https://openalex.org/W3123247007"],"related_works":["https://openalex.org/W2005514249","https://openalex.org/W2751071910","https://openalex.org/W2015447247","https://openalex.org/W4210940217","https://openalex.org/W3123787989","https://openalex.org/W2321320159","https://openalex.org/W2726720132","https://openalex.org/W2613584873","https://openalex.org/W4302334749","https://openalex.org/W2119732617"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}