{"id":"https://openalex.org/W1997640190","doi":"https://doi.org/10.1007/s007800050001","title":"Risk sensitive asset management with transaction costs","display_name":"Risk sensitive asset management with transaction costs","publication_year":2000,"publication_date":"2000-01-01","ids":{"openalex":"https://openalex.org/W1997640190","doi":"https://doi.org/10.1007/s007800050001","mag":"1997640190"},"language":"en","primary_location":{"id":"doi:10.1007/s007800050001","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800050001","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"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":"Finance and Stochastics","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/A5070487421","display_name":"Tomasz R. Bielecki","orcid":"https://orcid.org/0000-0001-6623-1504"},"institutions":[{"id":"https://openalex.org/I27639287","display_name":"Northeastern Illinois University","ror":"https://ror.org/04edns687","country_code":"US","type":"education","lineage":["https://openalex.org/I27639287"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Tomasz R. Bielecki","raw_affiliation_strings":["Department of Mathematics, The Northeastern Illinois University, 5500 North St. Louis Avenue, Chicago, IL 60625-4699, USA (e-mail: t-bielecki@neiu.edu)\n, , , , , , US","Department of Mathematics, The Northeastern Illinois University, 5500 North St. Louis Avenue, Chicago, IL 60625-4699, USA (e-mail: t-bielecki@neiu.edu)#N#, , US"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, The Northeastern Illinois University, 5500 North St. Louis Avenue, Chicago, IL 60625-4699, USA (e-mail: t-bielecki@neiu.edu)\n, , , , , , US","institution_ids":["https://openalex.org/I27639287"]},{"raw_affiliation_string":"Department of Mathematics, The Northeastern Illinois University, 5500 North St. Louis Avenue, Chicago, IL 60625-4699, USA (e-mail: t-bielecki@neiu.edu)#N#, , US","institution_ids":["https://openalex.org/I27639287"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5033320493","display_name":"Stanley R. Pliska","orcid":"https://orcid.org/0000-0001-8656-6221"},"institutions":[{"id":"https://openalex.org/I39422238","display_name":"University of Illinois Chicago","ror":"https://ror.org/02mpq6x41","country_code":"US","type":"education","lineage":["https://openalex.org/I39422238"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Stanley R. Pliska","raw_affiliation_strings":["Department of Finance, University of Illinois at Chicago, 601 S. Morgan St., Chicago, IL 60607-7124, USA (e-mail: srpliska@uic.edu)\n, , , , , , US","Department of Finance, University of Illinois at Chicago, 601 S. Morgan St., Chicago, IL 60607-7124, USA (e-mail: srpliska@uic.edu) , US"],"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Illinois at Chicago, 601 S. Morgan St., Chicago, IL 60607-7124, USA (e-mail: srpliska@uic.edu)\n, , , , , , US","institution_ids":["https://openalex.org/I39422238"]},{"raw_affiliation_string":"Department of Finance, University of Illinois at Chicago, 601 S. Morgan St., Chicago, IL 60607-7124, USA (e-mail: srpliska@uic.edu) , US","institution_ids":["https://openalex.org/I39422238"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5070487421"],"corresponding_institution_ids":["https://openalex.org/I27639287"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":6.9593,"has_fulltext":false,"cited_by_count":98,"citation_normalized_percentile":{"value":0.96716879,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"4","issue":"1","first_page":"1","last_page":"33"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9976999759674072,"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":0.9957000017166138,"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/transaction-cost","display_name":"Transaction cost","score":0.6668776273727417},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5844055414199829},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5400496125221252},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.524160623550415},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.49322766065597534},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.476762592792511},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"Risk aversion (psychology)","score":0.47564101219177246},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.4617723226547241},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.43466588854789734},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4317269027233124},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.42372769117355347},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.4188995659351349},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.41663646697998047},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.37465035915374756},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.3692200183868408},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.329915851354599},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.32574066519737244},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.29200446605682373},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2183597981929779},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16146117448806763}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6668776273727417},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5844055414199829},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5400496125221252},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.524160623550415},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.49322766065597534},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.476762592792511},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.47564101219177246},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4617723226547241},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.43466588854789734},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4317269027233124},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.42372769117355347},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.4188995659351349},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.41663646697998047},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37465035915374756},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.3692200183868408},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.329915851354599},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.32574066519737244},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.29200446605682373},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2183597981929779},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16146117448806763},{"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/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","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},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s007800050001","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s007800050001","pdf_url":null,"source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"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":"Finance and Stochastics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W380957011","https://openalex.org/W404135908","https://openalex.org/W1490772975","https://openalex.org/W1513091520","https://openalex.org/W1515432731","https://openalex.org/W1524099673","https://openalex.org/W1529558080","https://openalex.org/W1558902221","https://openalex.org/W1580561995","https://openalex.org/W1589395967","https://openalex.org/W1668124899","https://openalex.org/W1976352744","https://openalex.org/W1990833819","https://openalex.org/W1996097431","https://openalex.org/W2005158847","https://openalex.org/W2012131330","https://openalex.org/W2012524049","https://openalex.org/W2013530375","https://openalex.org/W2021355027","https://openalex.org/W2021491248","https://openalex.org/W2021824814","https://openalex.org/W2051614088","https://openalex.org/W2070201264","https://openalex.org/W2077302513","https://openalex.org/W2078160823","https://openalex.org/W2115580984","https://openalex.org/W2132286633","https://openalex.org/W2134807435","https://openalex.org/W2153977482","https://openalex.org/W2796337403"],"related_works":["https://openalex.org/W2328009952","https://openalex.org/W2162097421","https://openalex.org/W1992516357","https://openalex.org/W2504603602","https://openalex.org/W2005498215","https://openalex.org/W3123094310","https://openalex.org/W3163637902","https://openalex.org/W2296613601","https://openalex.org/W3122936292","https://openalex.org/W3121378067"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":6},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":6}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}