{"id":"https://openalex.org/W2791047233","doi":"https://doi.org/10.1007/s10287-018-0299-8","title":"ALM models based on second order stochastic dominance","display_name":"ALM models based on second order stochastic dominance","publication_year":2018,"publication_date":"2018-03-08","ids":{"openalex":"https://openalex.org/W2791047233","doi":"https://doi.org/10.1007/s10287-018-0299-8","mag":"2791047233"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-018-0299-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0299-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs10287-018-0299-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","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%2Fs10287-018-0299-8.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5090628443","display_name":"Maram Alwohaibi","orcid":"https://orcid.org/0000-0002-1873-7911"},"institutions":[{"id":"https://openalex.org/I59433898","display_name":"Brunel University of London","ror":"https://ror.org/00dn4t376","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I59433898"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Maram Alwohaibi","raw_affiliation_strings":["Department of Mathematics, Brunel University London, Uxbridge, UB8 3PH, UK"],"raw_orcid":"https://orcid.org/0000-0002-1873-7911","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Brunel University London, Uxbridge, UB8 3PH, UK","institution_ids":["https://openalex.org/I59433898"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5071194497","display_name":"Diana Roman","orcid":"https://orcid.org/0000-0002-6716-593X"},"institutions":[{"id":"https://openalex.org/I59433898","display_name":"Brunel University of London","ror":"https://ror.org/00dn4t376","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I59433898"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Diana Roman","raw_affiliation_strings":["Brunel University College of Engineering Design and Physical Sciences, London, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Brunel University College of Engineering Design and Physical Sciences, London, UK","institution_ids":["https://openalex.org/I59433898"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5090628443"],"corresponding_institution_ids":["https://openalex.org/I59433898"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.2206,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.58333333,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"15","issue":"2","first_page":"187","last_page":"211"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994000196456909,"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":0.9994000196456909,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9952999949455261,"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/T12394","display_name":"Insurance and Financial Risk Management","score":0.9940000176429749,"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":0.8735753297805786},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.6068443655967712},{"id":"https://openalex.org/keywords/dominance","display_name":"Dominance (genetics)","score":0.5205250978469849},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.5158947706222534},{"id":"https://openalex.org/keywords/pension","display_name":"Pension","score":0.493526816368103},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4844527244567871},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.45814889669418335},{"id":"https://openalex.org/keywords/stochastic-modelling","display_name":"Stochastic modelling","score":0.44892993569374084},{"id":"https://openalex.org/keywords/liability","display_name":"Liability","score":0.4308260977268219},{"id":"https://openalex.org/keywords/stochastic-investment-model","display_name":"Stochastic investment model","score":0.42893102765083313},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.42335978150367737},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4228341579437256},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.34779536724090576},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3267819285392761},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.27725911140441895},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.14361518621444702}],"concepts":[{"id":"https://openalex.org/C33252445","wikidata":"https://www.wikidata.org/wiki/Q3713315","display_name":"Stochastic dominance","level":2,"score":0.8735753297805786},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.6068443655967712},{"id":"https://openalex.org/C151913843","wikidata":"https://www.wikidata.org/wiki/Q3454555","display_name":"Dominance (genetics)","level":3,"score":0.5205250978469849},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5158947706222534},{"id":"https://openalex.org/C2780899237","wikidata":"https://www.wikidata.org/wiki/Q156223","display_name":"Pension","level":2,"score":0.493526816368103},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4844527244567871},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.45814889669418335},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.44892993569374084},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.4308260977268219},{"id":"https://openalex.org/C117219021","wikidata":"https://www.wikidata.org/wiki/Q7617821","display_name":"Stochastic investment model","level":4,"score":0.42893102765083313},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.42335978150367737},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4228341579437256},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34779536724090576},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3267819285392761},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.27725911140441895},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.14361518621444702},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"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/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-018-0299-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0299-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs10287-018-0299-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0299-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-018-0299-8","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"},{"id":"pmh:oai:libtstbura1.brunel.ac.uk:2438/16215","is_oa":false,"landing_page_url":"http://bura.brunel.ac.uk/handle/2438/16215","pdf_url":null,"source":{"id":"https://openalex.org/S4306401473","display_name":"Brunel University Research Archive (BURA) (Brunel University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I59433898","host_organization_name":"Brunel University of London","host_organization_lineage":["https://openalex.org/I59433898"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"doi:10.1007/s10287-018-0299-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0299-8","pdf_url":"https://link.springer.com/content/pdf/10.1007%2Fs10287-018-0299-8.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.5299999713897705,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320324766","display_name":"Brunel University London","ror":"https://ror.org/00dn4t376"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2791047233.pdf","grobid_xml":"https://content.openalex.org/works/W2791047233.grobid-xml"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W1543085528","https://openalex.org/W1599210138","https://openalex.org/W1647779468","https://openalex.org/W1963652112","https://openalex.org/W1975929016","https://openalex.org/W1980314087","https://openalex.org/W1981854401","https://openalex.org/W1985515068","https://openalex.org/W1997597349","https://openalex.org/W1999305792","https://openalex.org/W2005137490","https://openalex.org/W2019742604","https://openalex.org/W2049606892","https://openalex.org/W2050871264","https://openalex.org/W2052160057","https://openalex.org/W2054326545","https://openalex.org/W2079858007","https://openalex.org/W2081553892","https://openalex.org/W2087223814","https://openalex.org/W2093101965","https://openalex.org/W2099072671","https://openalex.org/W2111951371","https://openalex.org/W2116228093","https://openalex.org/W2129587297","https://openalex.org/W2144914919","https://openalex.org/W2161197409","https://openalex.org/W2171185835","https://openalex.org/W2238030762","https://openalex.org/W2277352315","https://openalex.org/W2315512094","https://openalex.org/W2399371527","https://openalex.org/W2567592283","https://openalex.org/W2991769409","https://openalex.org/W3124152630"],"related_works":["https://openalex.org/W31689210","https://openalex.org/W3125890707","https://openalex.org/W2065776771","https://openalex.org/W2041929526","https://openalex.org/W2132077464","https://openalex.org/W4239428416","https://openalex.org/W2483457680","https://openalex.org/W1856184450","https://openalex.org/W2143458442","https://openalex.org/W4200093776"],"abstract_inverted_index":{"We":[0],"propose":[1],"asset":[2,39],"and":[3],"liability":[4],"management":[5],"models":[6],"in":[7,59,78,114],"which":[8],"the":[9,17,28,31,36,53,73,104],"risk":[10,85,89],"of":[11,19,30,38,108],"underfunding":[12],"is":[13,42,57,76],"modelled":[14],"based":[15],"on":[16],"concept":[18],"stochastic":[20,49],"dominance.":[21,50],"Investment":[22],"decisions":[23],"are":[24,70],"taken":[25],"such":[26],"that":[27,34],"distribution":[29,56,75],"funding":[32,54],"ratio,":[33],"is,":[35],"ratio":[37,55],"to":[40,46,63],"liabilities,":[41],"non-dominated":[43],"with":[44,88],"respect":[45],"second":[47],"order":[48],"In":[51],"addition,":[52],"close":[58],"an":[60,100],"optimal":[61],"sense":[62],"a":[64,109],"user-specified":[65],"target":[66,74],"distribution.":[67],"Interesting":[68],"results":[69],"obtained":[71],"when":[72],"degenerate;":[77],"this":[79],"case,":[80],"we":[81,102],"can":[82],"obtain":[83],"equivalent":[84],"minimisation":[86],"models,":[87],"defined":[90,110],"as":[91,95],"expected":[92],"shortfall":[93],"or":[94],"worst":[96],"case":[97],"loss.":[98],"As":[99],"application,":[101],"consider":[103],"financial":[105],"planning":[106],"problem":[107],"benefit":[111],"pension":[112],"fund":[113],"Saudi":[115],"Arabia.":[116]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}