{"id":"https://openalex.org/W2333004159","doi":"https://doi.org/10.1007/s00291-016-0437-z","title":"A robust asset\u2013liability management framework for investment products with guarantees","display_name":"A robust asset\u2013liability management framework for investment products with guarantees","publication_year":2016,"publication_date":"2016-03-28","ids":{"openalex":"https://openalex.org/W2333004159","doi":"https://doi.org/10.1007/s00291-016-0437-z","mag":"2333004159"},"language":"en","primary_location":{"id":"doi:10.1007/s00291-016-0437-z","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-016-0437-z","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00291-016-0437-z.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007%2Fs00291-016-0437-z.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058318590","display_name":"Nal\u00e2n G\u00fclp\u0131nar","orcid":null},"institutions":[{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Nalan G\u00fclp\u0131nar","raw_affiliation_strings":["Warwick Business School, The University of Warwick, Coventry, CV4 7AL, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Warwick Business School, The University of Warwick, Coventry, CV4 7AL, UK","institution_ids":["https://openalex.org/I39555362"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002632112","display_name":"Dessislava A. Pachamanova","orcid":"https://orcid.org/0000-0002-1373-1553"},"institutions":[{"id":"https://openalex.org/I96062909","display_name":"Babson College","ror":"https://ror.org/01f0syq13","country_code":"US","type":"education","lineage":["https://openalex.org/I96062909"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dessislava Pachamanova","raw_affiliation_strings":["Mathematics and Sciences Division, Babson College, Wellesley, MA, 02457, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematics and Sciences Division, Babson College, Wellesley, MA, 02457, USA","institution_ids":["https://openalex.org/I96062909"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5032006091","display_name":"Ethem \u00c7anako\u011flu","orcid":"https://orcid.org/0000-0002-2572-1985"},"institutions":[{"id":"https://openalex.org/I128277893","display_name":"Bah\u00e7e\u015fehir University","ror":"https://ror.org/00yze4d93","country_code":"TR","type":"education","lineage":["https://openalex.org/I128277893"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Ethem \u00c7anako\u011flu","raw_affiliation_strings":["Industrial Engineering Department, Bahcesehir University, Istanbul, Turkey"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Industrial Engineering Department, Bahcesehir University, Istanbul, Turkey","institution_ids":["https://openalex.org/I128277893"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5058318590"],"corresponding_institution_ids":["https://openalex.org/I39555362"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":{"value":2990,"currency":"USD","value_usd":2990},"fwci":1.3381,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.83288234,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"38","issue":"4","first_page":"1007","last_page":"1041"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9988999962806702,"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":0.9988999962806702,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9914000034332275,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9887999892234802,"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/robust-optimization","display_name":"Robust optimization","score":0.6567582488059998},{"id":"https://openalex.org/keywords/liability","display_name":"Liability","score":0.5808585286140442},{"id":"https://openalex.org/keywords/stochastic-investment-model","display_name":"Stochastic investment model","score":0.5720906853675842},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.5412963628768921},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5376461744308472},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5279659032821655},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5093308687210083},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.5069868564605713},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.48352718353271484},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.46705853939056396},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.44754424691200256},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.43826648592948914},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3569854497909546},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.31652647256851196},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.31438305974006653},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.22131747007369995},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.13672563433647156},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.10544967651367188},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.07495173811912537}],"concepts":[{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.6567582488059998},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.5808585286140442},{"id":"https://openalex.org/C117219021","wikidata":"https://www.wikidata.org/wiki/Q7617821","display_name":"Stochastic investment model","level":4,"score":0.5720906853675842},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.5412963628768921},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5376461744308472},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5279659032821655},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5093308687210083},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5069868564605713},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.48352718353271484},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.46705853939056396},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44754424691200256},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43826648592948914},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3569854497909546},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31652647256851196},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.31438305974006653},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22131747007369995},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13672563433647156},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.10544967651367188},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.07495173811912537},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00291-016-0437-z","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-016-0437-z","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00291-016-0437-z.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:orspec:v:38:y:2016:i:4:d:10.1007_s00291-016-0437-z","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00291-016-0437-z","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":{"id":"doi:10.1007/s00291-016-0437-z","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-016-0437-z","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs00291-016-0437-z.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2333004159.pdf","grobid_xml":"https://content.openalex.org/works/W2333004159.grobid-xml"},"referenced_works_count":50,"referenced_works":["https://openalex.org/W28519790","https://openalex.org/W42020118","https://openalex.org/W1505227223","https://openalex.org/W1541069657","https://openalex.org/W1544200418","https://openalex.org/W1554596760","https://openalex.org/W1601081659","https://openalex.org/W1969903826","https://openalex.org/W1988719259","https://openalex.org/W1994952071","https://openalex.org/W1994956456","https://openalex.org/W1995634166","https://openalex.org/W1997597349","https://openalex.org/W2003124906","https://openalex.org/W2010610835","https://openalex.org/W2013352210","https://openalex.org/W2016871643","https://openalex.org/W2022107089","https://openalex.org/W2033635080","https://openalex.org/W2034412710","https://openalex.org/W2048679451","https://openalex.org/W2061871211","https://openalex.org/W2066115215","https://openalex.org/W2069099760","https://openalex.org/W2072147104","https://openalex.org/W2089105401","https://openalex.org/W2093824721","https://openalex.org/W2100549100","https://openalex.org/W2102426156","https://openalex.org/W2103201064","https://openalex.org/W2109088630","https://openalex.org/W2118471886","https://openalex.org/W2144570112","https://openalex.org/W2149610442","https://openalex.org/W2154683801","https://openalex.org/W2155511751","https://openalex.org/W2156844203","https://openalex.org/W2158958516","https://openalex.org/W2174883827","https://openalex.org/W2487144912","https://openalex.org/W2504753539","https://openalex.org/W2536620281","https://openalex.org/W2804625323","https://openalex.org/W3091769447","https://openalex.org/W3092959182","https://openalex.org/W3123963552","https://openalex.org/W3125976900","https://openalex.org/W4249552171","https://openalex.org/W4251616545","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W4293570283","https://openalex.org/W2014375465","https://openalex.org/W2393437616","https://openalex.org/W2804977193","https://openalex.org/W1969277909","https://openalex.org/W2347688263","https://openalex.org/W2333004159","https://openalex.org/W2350629507","https://openalex.org/W2006272043","https://openalex.org/W2352340866"],"abstract_inverted_index":{"This":[0],"paper":[1],"suggests":[2],"a":[3],"robust":[4,24,70,91,96,114],"asset\u2013liability":[5,92],"management":[6,93],"framework":[7],"for":[8,66,132],"investment":[9,16,97,115],"products":[10],"with":[11,31],"guarantees,":[12],"such":[13],"as":[14],"guaranteed":[15],"contracts":[17],"and":[18,23,37,59,79,125],"equity-linked":[19],"notes.":[20],"Stochastic":[21],"programming":[22,109],"optimization":[25],"approaches":[26,65],"are":[27,50,72,83],"introduced":[28],"to":[29,85],"deal":[30],"data":[32,82],"uncertainty":[33,61,130],"in":[34,52,102],"asset":[35,133],"returns":[36],"interest":[38],"rates.":[39],"The":[40,95,111],"statistical":[41],"properties":[42],"of":[43,47,68,89,113,128],"the":[44,53,69,87,90,123,126,129],"probability":[45],"distributions":[46],"uncertain":[48],"parameters":[49],"incorporated":[51],"model":[54],"through":[55],"appropriately":[56],"selected":[57],"symmetric":[58],"asymmetric":[60],"sets.":[62],"Practical":[63],"data-driven":[64],"implementation":[67],"models":[71],"also":[73],"discussed.":[74],"Numerical":[75],"results":[76],"using":[77],"generated":[78],"real":[80],"market":[81,104],"presented":[84],"illustrate":[86],"performance":[88,101],"strategies.":[94],"strategies":[98,116],"show":[99],"better":[100],"unfavorable":[103],"regimes":[105],"than":[106],"traditional":[107],"stochastic":[108],"approaches.":[110],"effectiveness":[112],"can":[117],"be":[118],"improved":[119],"by":[120],"calibrating":[121],"carefully":[122],"shape":[124],"size":[127],"sets":[131],"returns.":[134]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-07-31T08:31:51.225901","created_date":"2016-06-24T00:00:00"}
