{"id":"https://openalex.org/W4319659106","doi":"https://doi.org/10.1007/s10287-023-00434-6","title":"Multi-period power utility optimization under stock return predictability","display_name":"Multi-period power utility optimization under stock return predictability","publication_year":2023,"publication_date":"2023-02-09","ids":{"openalex":"https://openalex.org/W4319659106","doi":"https://doi.org/10.1007/s10287-023-00434-6"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-023-00434-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00434-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00434-6.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/s10287-023-00434-6.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019806834","display_name":"Taras Bodnar","orcid":"https://orcid.org/0000-0001-7855-8221"},"institutions":[{"id":"https://openalex.org/I161593684","display_name":"Stockholm University","ror":"https://ror.org/05f0yaq80","country_code":"SE","type":"education","lineage":["https://openalex.org/I161593684"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Taras Bodnar","raw_affiliation_strings":["Department of Mathematics, Stockholm University, Stockholm, Sweden"],"raw_orcid":"https://orcid.org/0000-0001-7855-8221","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Stockholm University, Stockholm, Sweden","institution_ids":["https://openalex.org/I161593684"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010645202","display_name":"Dmytro Ivasiuk","orcid":null},"institutions":[{"id":"https://openalex.org/I254029264","display_name":"European University Viadrina","ror":"https://ror.org/02msan859","country_code":"DE","type":"education","lineage":["https://openalex.org/I254029264"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Dmytro Ivasiuk","raw_affiliation_strings":["Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany","institution_ids":["https://openalex.org/I254029264"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043261178","display_name":"Nestor Parolya","orcid":"https://orcid.org/0000-0003-2147-2288"},"institutions":[{"id":"https://openalex.org/I98358874","display_name":"Delft University of Technology","ror":"https://ror.org/02e2c7k09","country_code":"NL","type":"education","lineage":["https://openalex.org/I98358874"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Nestor Parolya","raw_affiliation_strings":["Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Delft Institute of Applied Mathematics, Delft University of Technology, Delft, The Netherlands","institution_ids":["https://openalex.org/I98358874"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5071742989","display_name":"Wolfgang Schmid","orcid":"https://orcid.org/0000-0001-7540-5350"},"institutions":[{"id":"https://openalex.org/I254029264","display_name":"European University Viadrina","ror":"https://ror.org/02msan859","country_code":"DE","type":"education","lineage":["https://openalex.org/I254029264"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Wolfgang Schmid","raw_affiliation_strings":["Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany","institution_ids":["https://openalex.org/I254029264"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5019806834"],"corresponding_institution_ids":["https://openalex.org/I161593684"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.5708,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.65746476,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"20","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"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":0.9973000288009644,"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":0.9972000122070312,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9943000078201294,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/predictability","display_name":"Predictability","score":0.6541880369186401},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6080459952354431},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5984533429145813},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.5459089279174805},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5106545090675354},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5036508440971375},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.502601146697998},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.43832331895828247},{"id":"https://openalex.org/keywords/recursion","display_name":"Recursion (computer science)","score":0.42336514592170715},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41666266322135925},{"id":"https://openalex.org/keywords/isoelastic-utility","display_name":"Isoelastic utility","score":0.41180023550987244},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3210761249065399},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.24908247590065002},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.16602352261543274}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.6541880369186401},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6080459952354431},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5984533429145813},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.5459089279174805},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5106545090675354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5036508440971375},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.502601146697998},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43832331895828247},{"id":"https://openalex.org/C168773036","wikidata":"https://www.wikidata.org/wiki/Q264164","display_name":"Recursion (computer science)","level":2,"score":0.42336514592170715},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41666266322135925},{"id":"https://openalex.org/C154808841","wikidata":"https://www.wikidata.org/wiki/Q3467023","display_name":"Isoelastic utility","level":3,"score":0.41180023550987244},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3210761249065399},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.24908247590065002},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.16602352261543274},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-023-00434-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00434-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00434-6.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:20:y:2023:i:1:d:10.1007_s10287-023-00434-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-023-00434-6","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"},{"id":"pmh:oai:tudelft.nl:uuid:2f33182c-7fc9-4092-bf1b-468e44ceaad1","is_oa":false,"landing_page_url":"http://resolver.tudelft.nl/uuid:2f33182c-7fc9-4092-bf1b-468e44ceaad1","pdf_url":null,"source":{"id":"https://openalex.org/S4306400906","display_name":"Research Repository (Delft University of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I98358874","host_organization_name":"Delft University of Technology","host_organization_lineage":["https://openalex.org/I98358874"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"journal article"}],"best_oa_location":{"id":"doi:10.1007/s10287-023-00434-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-023-00434-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00434-6.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":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320325669","display_name":"Stockholms Universitet","ror":"https://ror.org/05f0yaq80"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4319659106.pdf"},"referenced_works_count":35,"referenced_works":["https://openalex.org/W1580797365","https://openalex.org/W1966488176","https://openalex.org/W1997901932","https://openalex.org/W2005498215","https://openalex.org/W2008618334","https://openalex.org/W2034451266","https://openalex.org/W2045547712","https://openalex.org/W2054598170","https://openalex.org/W2056402039","https://openalex.org/W2059627964","https://openalex.org/W2081986758","https://openalex.org/W2085199979","https://openalex.org/W2115185486","https://openalex.org/W2132621139","https://openalex.org/W2137296414","https://openalex.org/W2151801896","https://openalex.org/W2169543372","https://openalex.org/W2169686235","https://openalex.org/W2171916535","https://openalex.org/W2291688673","https://openalex.org/W2489540272","https://openalex.org/W2570834760","https://openalex.org/W2803504891","https://openalex.org/W3023157742","https://openalex.org/W3028663724","https://openalex.org/W3041491518","https://openalex.org/W3046948291","https://openalex.org/W3121637696","https://openalex.org/W3121737108","https://openalex.org/W3123029587","https://openalex.org/W3123640723","https://openalex.org/W3125437539","https://openalex.org/W4206660216","https://openalex.org/W4252707658","https://openalex.org/W4283573881"],"related_works":["https://openalex.org/W1586726553","https://openalex.org/W2121886503","https://openalex.org/W1991197771","https://openalex.org/W2067981667","https://openalex.org/W2073710050","https://openalex.org/W4238521940","https://openalex.org/W3124384788","https://openalex.org/W2165263141","https://openalex.org/W4242872490","https://openalex.org/W4234427838"],"abstract_inverted_index":{"Abstract":[0],"In":[1,56],"this":[2],"paper,":[3],"we":[4],"derive":[5],"an":[6,20,57],"analytical":[7,99],"solution":[8,65,100],"to":[9,101,108],"the":[10,17,36,41,44,60,63,69,74,84,95,98,102,113,117],"dynamic":[11],"optimal":[12],"portfolio":[13,104],"choice":[14,105],"problem":[15,106],"in":[16,81],"case":[18],"of":[19,28,46,62,83,97,111],"investor":[21],"equipped":[22],"with":[23,53,68],"a":[24,50],"power":[25],"utility":[26],"function":[27],"wealth.":[29],"The":[30,77],"results":[31],"are":[32],"established":[33],"by":[34,72],"solving":[35],"Bellman":[37],"backward":[38],"recursion":[39],"under":[40],"assumption":[42],"that":[43,94],"vector":[45],"asset":[47],"returns":[48],"follows":[49],"vector-autoregressive":[51],"process":[52],"predictable":[54],"variables.":[55],"empirical":[58],"study,":[59],"performance":[61],"derived":[64],"is":[66,79,92],"compared":[67],"one":[70],"obtained":[71],"applying":[73],"numerical":[75],"method.":[76],"comparison":[78],"performed":[80],"terms":[82],"final":[85,114],"wealth":[86,115],"and":[87,116],"its":[88],"expected":[89,118],"utility.":[90,119],"It":[91],"documented":[93],"application":[96],"multi-period":[103],"leads":[107],"higher":[109],"values":[110],"both":[112]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2025-12-21T01:58:51.020947","created_date":"2025-10-10T00:00:00"}