{"id":"https://openalex.org/W2115444324","doi":"https://doi.org/10.1007/s10479-013-1496-z","title":"Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups","display_name":"Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups","publication_year":2013,"publication_date":"2013-11-13","ids":{"openalex":"https://openalex.org/W2115444324","doi":"https://doi.org/10.1007/s10479-013-1496-z","mag":"2115444324"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-013-1496-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-013-1496-z","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/A5054247935","display_name":"Kun Soo Park","orcid":null},"institutions":[{"id":"https://openalex.org/I157485424","display_name":"Korea Advanced Institute of Science and Technology","ror":"https://ror.org/05apxxy63","country_code":"KR","type":"education","lineage":["https://openalex.org/I157485424"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Kun Soo Park","raw_affiliation_strings":["Graduate School of Management, Korea Advanced Institute of Science and Technology (KAIST), Seoul, 130-722, Korea","Graduate School of Management, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Management, Korea Advanced Institute of Science and Technology (KAIST), Seoul, 130-722, Korea","institution_ids":["https://openalex.org/I157485424"]},{"raw_affiliation_string":"Graduate School of Management, Korea Advanced Institute of Science and Technology (KAIST), Seoul, Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5083215472","display_name":"Ward Whitt","orcid":"https://orcid.org/0000-0003-4298-9964"},"institutions":[{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ward Whitt","raw_affiliation_strings":["Department of Industrial Engineering and Operations Research, Columbia University, New York, NY, 10027, USA","Department of Industrial Engineering and Operations Research, Columbia University, New York, USA#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Operations Research, Columbia University, New York, NY, 10027, USA","institution_ids":["https://openalex.org/I78577930"]},{"raw_affiliation_string":"Department of Industrial Engineering and Operations Research, Columbia University, New York, USA#TAB#","institution_ids":["https://openalex.org/I78577930"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5054247935"],"corresponding_institution_ids":["https://openalex.org/I157485424"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":0.3891,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.7198247,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"211","issue":"1","first_page":"357","last_page":"379"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9943000078201294,"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":0.9943000078201294,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9940999746322632,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.991599977016449,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.7286854982376099},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5328657627105713},{"id":"https://openalex.org/keywords/hedge-fund","display_name":"Hedge fund","score":0.5278056859970093},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5155918002128601},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4517265856266022},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.43269020318984985},{"id":"https://openalex.org/keywords/state","display_name":"State (computer science)","score":0.41166096925735474},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3539712429046631},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3314698338508606},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.11258924007415771},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.08490779995918274}],"concepts":[{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.7286854982376099},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5328657627105713},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.5278056859970093},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5155918002128601},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4517265856266022},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.43269020318984985},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.41166096925735474},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3539712429046631},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3314698338508606},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.11258924007415771},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.08490779995918274},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-013-1496-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-013-1496-z","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:211:y:2013:i:1:p:357-379:10.1007/s10479-013-1496-z","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10479-013-1496-z","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":[{"id":"https://metadata.un.org/sdg/17","score":0.4399999976158142,"display_name":"Partnerships for the goals"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320337391","display_name":"Division of Civil, Mechanical and Manufacturing Innovation","ror":"https://ror.org/028yd4c30"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1545168666","https://openalex.org/W1548581367","https://openalex.org/W1571438983","https://openalex.org/W1577789187","https://openalex.org/W1605108480","https://openalex.org/W1965399019","https://openalex.org/W1979650946","https://openalex.org/W1996817148","https://openalex.org/W1999710902","https://openalex.org/W2001740336","https://openalex.org/W2004698309","https://openalex.org/W2010499157","https://openalex.org/W2018900320","https://openalex.org/W2038544490","https://openalex.org/W2063208862","https://openalex.org/W2118205861","https://openalex.org/W2149681513","https://openalex.org/W2153332182","https://openalex.org/W2168560639","https://openalex.org/W2183376419","https://openalex.org/W2184961512","https://openalex.org/W2322524800","https://openalex.org/W2328357028","https://openalex.org/W2890534020","https://openalex.org/W2915381587","https://openalex.org/W3023981796","https://openalex.org/W3122111947","https://openalex.org/W3122589966","https://openalex.org/W3124097566","https://openalex.org/W3126060244","https://openalex.org/W3126082197","https://openalex.org/W4229666556","https://openalex.org/W4245683501","https://openalex.org/W4300306656","https://openalex.org/W6632438228","https://openalex.org/W6641409908"],"related_works":["https://openalex.org/W2151689585","https://openalex.org/W2380816257","https://openalex.org/W3087071515","https://openalex.org/W4283726152","https://openalex.org/W3093571331","https://openalex.org/W1485888979","https://openalex.org/W2806680938","https://openalex.org/W4302285290","https://openalex.org/W3159134156","https://openalex.org/W2369516547"],"abstract_inverted_index":null,"counts_by_year":[{"year":2016,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}