{"id":"https://openalex.org/W4410464742","doi":"https://doi.org/10.1007/s00291-025-00814-1","title":"Robust approaches in portfolio optimization with stochastic dominance constraints","display_name":"Robust approaches in portfolio optimization with stochastic dominance constraints","publication_year":2025,"publication_date":"2025-05-17","ids":{"openalex":"https://openalex.org/W4410464742","doi":"https://doi.org/10.1007/s00291-025-00814-1"},"language":"en","primary_location":{"id":"doi:10.1007/s00291-025-00814-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-025-00814-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-025-00814-1.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/s00291-025-00814-1.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043473436","display_name":"Milo\u0161 Kopa","orcid":"https://orcid.org/0000-0002-9438-4484"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Milo\u0161 Kopa","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Praha 8, Czech Republic"],"raw_orcid":"https://orcid.org/0000-0002-9438-4484","affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Praha 8, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5056851123","display_name":"Karel Kozm\u00edk","orcid":null},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Karel Kozm\u00edk","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Praha 8, Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovsk\u00e1 83, 186 75, Praha 8, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5043473436"],"corresponding_institution_ids":["https://openalex.org/I21250087"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":1.8773,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.85028426,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"47","issue":"4","first_page":"1421","last_page":"1453"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998000264167786,"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":0.9998000264167786,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9926000237464905,"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/T12137","display_name":"Economic theories and models","score":0.9860000014305115,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/stochastic-dominance","display_name":"Stochastic dominance","score":0.8283109664916992},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6447386145591736},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.6389819979667664},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.601982057094574},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5563216805458069},{"id":"https://openalex.org/keywords/stochastic-optimization","display_name":"Stochastic optimization","score":0.5489627718925476},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5277823805809021},{"id":"https://openalex.org/keywords/dominance","display_name":"Dominance (genetics)","score":0.44260475039482117},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24836468696594238},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17183443903923035},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.11529231071472168},{"id":"https://openalex.org/keywords/biology","display_name":"Biology","score":0.08678808808326721}],"concepts":[{"id":"https://openalex.org/C33252445","wikidata":"https://www.wikidata.org/wiki/Q3713315","display_name":"Stochastic dominance","level":2,"score":0.8283109664916992},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6447386145591736},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.6389819979667664},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.601982057094574},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5563216805458069},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.5489627718925476},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5277823805809021},{"id":"https://openalex.org/C151913843","wikidata":"https://www.wikidata.org/wiki/Q3454555","display_name":"Dominance (genetics)","level":3,"score":0.44260475039482117},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24836468696594238},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17183443903923035},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.11529231071472168},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.08678808808326721},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00291-025-00814-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-025-00814-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-025-00814-1.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"}],"best_oa_location":{"id":"doi:10.1007/s00291-025-00814-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-025-00814-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-025-00814-1.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":[{"id":"https://openalex.org/G7994587385","display_name":null,"funder_award_id":"19-28231X","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"}],"funders":[{"id":"https://openalex.org/F4320309755","display_name":"Univerzita Karlova v Praze","ror":"https://ror.org/024d6js02"},{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4410464742.pdf","grobid_xml":"https://content.openalex.org/works/W4410464742.grobid-xml"},"referenced_works_count":30,"referenced_works":["https://openalex.org/W622935592","https://openalex.org/W1527823684","https://openalex.org/W1966823320","https://openalex.org/W2023587476","https://openalex.org/W2065491738","https://openalex.org/W2070589948","https://openalex.org/W2085976800","https://openalex.org/W2109518176","https://openalex.org/W2119028931","https://openalex.org/W2127000676","https://openalex.org/W2171414100","https://openalex.org/W2238030762","https://openalex.org/W2339153486","https://openalex.org/W2526036069","https://openalex.org/W2567592283","https://openalex.org/W2888635117","https://openalex.org/W2922418166","https://openalex.org/W2963450292","https://openalex.org/W2969738732","https://openalex.org/W3010333602","https://openalex.org/W3028758951","https://openalex.org/W3082198652","https://openalex.org/W3104212113","https://openalex.org/W3105398219","https://openalex.org/W3123005068","https://openalex.org/W3124152630","https://openalex.org/W3173204811","https://openalex.org/W3176590421","https://openalex.org/W4286494325","https://openalex.org/W4321768970"],"related_works":["https://openalex.org/W2494461588","https://openalex.org/W2478439126","https://openalex.org/W4384826939","https://openalex.org/W1963953258","https://openalex.org/W2238030762","https://openalex.org/W2922418166","https://openalex.org/W3010333602","https://openalex.org/W2085976800","https://openalex.org/W2108923219","https://openalex.org/W2888567326"],"abstract_inverted_index":{"Abstract":[0],"The":[1,154,175],"paper":[2],"deals":[3],"with":[4,101,151,158],"a":[5,65,82,171],"modern":[6],"approach":[7],"of":[8,17,81,98,130,148,162,177,184,187],"stochastic":[9,57,70,104,116],"dominance":[10,71,105],"in":[11,47,107,112,143],"portfolio":[12,100],"optimization.":[13],"Since":[14],"the":[15,28,34,50,53,74,78,96,99,102,134,141,166,185,194,203],"distribution":[16,30,36,51,76],"returns":[18,113,129],"is":[19,52],"often":[20],"just":[21],"estimated":[22],"from":[23,33,202],"data,":[24,126],"we":[25,45,63,87],"look":[26],"for":[27,56,67,114,182],"worst-case":[29,75],"that":[31,181],"differs":[32],"empirical":[35,155],"by":[37,133],"no":[38],"more":[39],"than":[40],"some":[41,183],"prescribed":[42],"value.":[43],"First,":[44],"define":[46],"what":[48],"sense":[49],"worst":[54],"one":[55],"dominance.":[58,117],"Then,":[59],"using":[60,145],"Wasserstein":[61],"distance,":[62],"derive":[64,88],"reformulation":[66],"robust":[68,103,167],"second-order":[69,115],"and":[72,139],"find":[73],"as":[77],"optimal":[79,146],"solution":[80],"non-linear":[83],"optimization":[84,122,149,168,205],"problem.":[85],"Finally,":[86],"programs":[89,123,150],"to":[90,124,128],"maximize":[91],"an":[92,159],"objective":[93],"function":[94],"over":[95],"weights":[97],"condition":[106],"constraints.":[108],"We":[109,118],"consider":[110],"robustness":[111],"apply":[119],"all":[120],"derived":[121,201],"real-life":[125],"specifically":[127],"assets":[131],"captured":[132],"Dow":[135],"Jones":[136],"Industrial":[137],"Average,":[138],"analyze":[140],"problems":[142],"detail":[144],"solutions":[147],"multiple":[152],"setups.":[153],"analysis":[156],"proceeded":[157],"out-of-sample":[160,198],"evaluation":[161],"portfolios":[163,196],"formulated":[164],"through":[165],"program,":[169],"employing":[170],"moving":[172],"window":[173],"methodology.":[174],"findings":[176],"this":[178],"study":[179],"indicate":[180],"values":[186],"$$\\varepsilon":[188],"$$":[189],"<mml:math":[190],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\">":[191],"<mml:mi>\u03b5</mml:mi>":[192],"</mml:math>":[193],"robustified":[195],"consistently":[197],"outperform":[199],"those":[200],"non-robust":[204],"approach.":[206]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2025-11-23T05:10:03.516525","created_date":"2025-10-10T00:00:00"}