{"id":"https://openalex.org/W2134919172","doi":"https://doi.org/10.1007/s10479-009-0515-6","title":"Robust portfolios: contributions from operations research and finance","display_name":"Robust portfolios: contributions from operations research and finance","publication_year":2009,"publication_date":"2009-01-28","ids":{"openalex":"https://openalex.org/W2134919172","doi":"https://doi.org/10.1007/s10479-009-0515-6","mag":"2134919172"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-009-0515-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-009-0515-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","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/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465"},"institutions":[{"id":"https://openalex.org/I32971472","display_name":"Yale University","ror":"https://ror.org/03v76x132","country_code":"US","type":"education","lineage":["https://openalex.org/I32971472"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["School of Management, Yale University, New Haven, CT, 06520, USA","School of Management, Yale University, New Haven, USA"],"affiliations":[{"raw_affiliation_string":"School of Management, Yale University, New Haven, CT, 06520, USA","institution_ids":["https://openalex.org/I32971472"]},{"raw_affiliation_string":"School of Management, Yale University, New Haven, USA","institution_ids":["https://openalex.org/I32971472"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029959520","display_name":"Dashan Huang","orcid":"https://orcid.org/0000-0003-2951-7997"},"institutions":[{"id":"https://openalex.org/I204465549","display_name":"Washington University in St. Louis","ror":"https://ror.org/01yc7t268","country_code":"US","type":"education","lineage":["https://openalex.org/I204465549"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dashan Huang","raw_affiliation_strings":["Olin School of Business, Washington University, St. Louis, MO, 63130, USA","Olin School of Business, Washington University, St. Louis, USA"],"affiliations":[{"raw_affiliation_string":"Olin School of Business, Washington University, St. Louis, MO, 63130, USA","institution_ids":["https://openalex.org/I204465549"]},{"raw_affiliation_string":"Olin School of Business, Washington University, St. Louis, USA","institution_ids":["https://openalex.org/I204465549"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012239666","display_name":"Guofu Zhou","orcid":"https://orcid.org/0000-0002-4104-403X"},"institutions":[{"id":"https://openalex.org/I204465549","display_name":"Washington University in St. Louis","ror":"https://ror.org/01yc7t268","country_code":"US","type":"education","lineage":["https://openalex.org/I204465549"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Guofu Zhou","raw_affiliation_strings":["Olin School of Business, Washington University, St. Louis, MO, 63130, USA","Olin School of Business, Washington University, St. Louis, USA"],"affiliations":[{"raw_affiliation_string":"Olin School of Business, Washington University, St. Louis, MO, 63130, USA","institution_ids":["https://openalex.org/I204465549"]},{"raw_affiliation_string":"Olin School of Business, Washington University, St. Louis, USA","institution_ids":["https://openalex.org/I204465549"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5055304783"],"corresponding_institution_ids":["https://openalex.org/I32971472"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":10.0095,"has_fulltext":false,"cited_by_count":250,"citation_normalized_percentile":{"value":0.98297421,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":99,"max":100},"biblio":{"volume":"176","issue":"1","first_page":"191","last_page":"220"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9995999932289124,"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":0.9995999932289124,"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/T12394","display_name":"Insurance and Financial Risk Management","score":0.9915000200271606,"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"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9889000058174133,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.839229941368103},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7014720439910889},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.6147271990776062},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5472922921180725},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5336709022521973},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.5065277814865112},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.499767541885376},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.49799442291259766},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.48676490783691406},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4730699956417084},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.45074018836021423},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4137105345726013},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3514101803302765},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.3025190830230713},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.266651451587677},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.09957966208457947},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.08174139261245728}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.839229941368103},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7014720439910889},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.6147271990776062},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5472922921180725},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5336709022521973},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.5065277814865112},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.499767541885376},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.49799442291259766},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.48676490783691406},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4730699956417084},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.45074018836021423},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4137105345726013},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3514101803302765},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.3025190830230713},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.266651451587677},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.09957966208457947},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.08174139261245728},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-009-0515-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-009-0515-6","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:176:y:2010:i:1:p:191-220:10.1007/s10479-009-0515-6","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10479-009-0515-6","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":154,"referenced_works":["https://openalex.org/W28519790","https://openalex.org/W149129625","https://openalex.org/W370143576","https://openalex.org/W609731297","https://openalex.org/W639861265","https://openalex.org/W759868738","https://openalex.org/W1495102727","https://openalex.org/W1498464051","https://openalex.org/W1503911522","https://openalex.org/W1505227223","https://openalex.org/W1527336427","https://openalex.org/W1551275368","https://openalex.org/W1584017176","https://openalex.org/W1589395967","https://openalex.org/W1598266570","https://openalex.org/W1647779468","https://openalex.org/W1720032626","https://openalex.org/W1755078347","https://openalex.org/W1895366050","https://openalex.org/W1916820605","https://openalex.org/W1968355947","https://openalex.org/W1969429114","https://openalex.org/W1969897341","https://openalex.org/W1973074195","https://openalex.org/W1973491767","https://openalex.org/W1974469640","https://openalex.org/W1980314087","https://openalex.org/W1988520084","https://openalex.org/W1988676230","https://openalex.org/W1993599556","https://openalex.org/W1995285162","https://openalex.org/W2010610835","https://openalex.org/W2010911893","https://openalex.org/W2015856032","https://openalex.org/W2017808917","https://openalex.org/W2019291268","https://openalex.org/W2021472931","https://openalex.org/W2022808247","https://openalex.org/W2029627386","https://openalex.org/W2031023319","https://openalex.org/W2033298685","https://openalex.org/W2033500977","https://openalex.org/W2034019416","https://openalex.org/W2037745646","https://openalex.org/W2037997579","https://openalex.org/W2038865108","https://openalex.org/W2044564202","https://openalex.org/W2046396733","https://openalex.org/W2048679451","https://openalex.org/W2051769598","https://openalex.org/W2056111989","https://openalex.org/W2063698478","https://openalex.org/W2069099760","https://openalex.org/W2070062192","https://openalex.org/W2073524791","https://openalex.org/W2077491827","https://openalex.org/W2082137923","https://openalex.org/W2089105401","https://openalex.org/W2092866161","https://openalex.org/W2094182730","https://openalex.org/W2098487960","https://openalex.org/W2105815023","https://openalex.org/W2111951371","https://openalex.org/W2112261373","https://openalex.org/W2117278512","https://openalex.org/W2118856090","https://openalex.org/W2121183216","https://openalex.org/W2127090633","https://openalex.org/W2131387435","https://openalex.org/W2131500511","https://openalex.org/W2131868098","https://openalex.org/W2136914524","https://openalex.org/W2137971377","https://openalex.org/W2138490239","https://openalex.org/W2139472163","https://openalex.org/W2139491749","https://openalex.org/W2140917889","https://openalex.org/W2143128449","https://openalex.org/W2146444777","https://openalex.org/W2147127428","https://openalex.org/W2151704366","https://openalex.org/W2151945525","https://openalex.org/W2153489418","https://openalex.org/W2154643473","https://openalex.org/W2154738336","https://openalex.org/W2154844766","https://openalex.org/W2155511751","https://openalex.org/W2155714113","https://openalex.org/W2156844203","https://openalex.org/W2157289352","https://openalex.org/W2163969674","https://openalex.org/W2164883547","https://openalex.org/W2165408259","https://openalex.org/W2166134957","https://openalex.org/W2169746537","https://openalex.org/W2174883827","https://openalex.org/W2237177627","https://openalex.org/W2284333256","https://openalex.org/W2313727555","https://openalex.org/W2320103898","https://openalex.org/W2332156311","https://openalex.org/W2333022893","https://openalex.org/W2502254989","https://openalex.org/W2531701074","https://openalex.org/W2795413297","https://openalex.org/W2801616131","https://openalex.org/W2954440301","https://openalex.org/W2974222084","https://openalex.org/W3021970279","https://openalex.org/W3107394559","https://openalex.org/W3122070552","https://openalex.org/W3122085781","https://openalex.org/W3122540452","https://openalex.org/W3122732812","https://openalex.org/W3122806608","https://openalex.org/W3122960119","https://openalex.org/W3123266636","https://openalex.org/W3123320210","https://openalex.org/W3123331292","https://openalex.org/W3123552065","https://openalex.org/W3123758015","https://openalex.org/W3123792221","https://openalex.org/W3123868759","https://openalex.org/W3123994138","https://openalex.org/W3124041622","https://openalex.org/W3124051290","https://openalex.org/W3124407081","https://openalex.org/W3124539603","https://openalex.org/W3125172714","https://openalex.org/W3125535934","https://openalex.org/W3125593626","https://openalex.org/W3125678160","https://openalex.org/W3126139968","https://openalex.org/W3144753570","https://openalex.org/W4230727635","https://openalex.org/W4232324224","https://openalex.org/W4253377838","https://openalex.org/W4253542043","https://openalex.org/W4255230573","https://openalex.org/W4300532638","https://openalex.org/W6601172960","https://openalex.org/W6622424150","https://openalex.org/W6630106280","https://openalex.org/W6630219569","https://openalex.org/W6635129504","https://openalex.org/W6639515986","https://openalex.org/W6661776813","https://openalex.org/W6689948083","https://openalex.org/W6696340715","https://openalex.org/W6724780094","https://openalex.org/W6765341079","https://openalex.org/W6807091881","https://openalex.org/W7014781192","https://openalex.org/W7023871242"],"related_works":["https://openalex.org/W4316167276","https://openalex.org/W2002736235","https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W2016139756","https://openalex.org/W2153830644","https://openalex.org/W3124086738","https://openalex.org/W3101533691","https://openalex.org/W4214950627","https://openalex.org/W2158771116"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":11},{"year":2024,"cited_by_count":15},{"year":2023,"cited_by_count":14},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":19},{"year":2020,"cited_by_count":19},{"year":2019,"cited_by_count":19},{"year":2018,"cited_by_count":22},{"year":2017,"cited_by_count":27},{"year":2016,"cited_by_count":13},{"year":2015,"cited_by_count":16},{"year":2014,"cited_by_count":14},{"year":2013,"cited_by_count":21},{"year":2012,"cited_by_count":10}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
