{"id":"https://openalex.org/W2419445743","doi":"https://doi.org/10.1007/s10479-016-2182-8","title":"Portfolio selection strategy for fixed income markets with immunization on average","display_name":"Portfolio selection strategy for fixed income markets with immunization on average","publication_year":2016,"publication_date":"2016-06-08","ids":{"openalex":"https://openalex.org/W2419445743","doi":"https://doi.org/10.1007/s10479-016-2182-8","mag":"2419445743"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-016-2182-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-016-2182-8","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":true,"oa_status":"green","oa_url":"http://hdl.handle.net/10446/70754","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058734636","display_name":"Sergio Ortobelli Lozza","orcid":"https://orcid.org/0000-0003-4983-8165"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]},{"id":"https://openalex.org/I142208455","display_name":"VSB - Technical University of Ostrava","ror":"https://ror.org/05x8mcb75","country_code":"CZ","type":"education","lineage":["https://openalex.org/I142208455"]}],"countries":["CZ","IT"],"is_corresponding":true,"raw_author_name":"Sergio Ortobelli","raw_affiliation_strings":["Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy","Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic"],"affiliations":[{"raw_affiliation_string":"Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]},{"raw_affiliation_string":"Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic","institution_ids":["https://openalex.org/I142208455"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079124637","display_name":"Sebastiano Vitali","orcid":"https://orcid.org/0000-0002-6984-4194"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Sebastiano Vitali","raw_affiliation_strings":["Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy"],"affiliations":[{"raw_affiliation_string":"Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041529879","display_name":"Marco Cassader","orcid":null},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]},{"id":"https://openalex.org/I142208455","display_name":"VSB - Technical University of Ostrava","ror":"https://ror.org/05x8mcb75","country_code":"CZ","type":"education","lineage":["https://openalex.org/I142208455"]}],"countries":["CZ","IT"],"is_corresponding":false,"raw_author_name":"Marco Cassader","raw_affiliation_strings":["Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy","Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic"],"affiliations":[{"raw_affiliation_string":"Department MSIA, University of Bergamo, Via dei Caniana 2, 24 127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]},{"raw_affiliation_string":"Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic","institution_ids":["https://openalex.org/I142208455"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5041023653","display_name":"Tom\u00e1\u0161 Tich\u00fd","orcid":"https://orcid.org/0000-0002-6503-5330"},"institutions":[{"id":"https://openalex.org/I142208455","display_name":"VSB - Technical University of Ostrava","ror":"https://ror.org/05x8mcb75","country_code":"CZ","type":"education","lineage":["https://openalex.org/I142208455"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Tom\u00e1\u0161 Tich\u00fd","raw_affiliation_strings":["Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic"],"affiliations":[{"raw_affiliation_string":"Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolsk\u00e1 33, 701 21, Ostrava, Czech Republic","institution_ids":["https://openalex.org/I142208455"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5058734636"],"corresponding_institution_ids":["https://openalex.org/I11039511","https://openalex.org/I142208455"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":1.4916,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.85051672,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"260","issue":"1-2","first_page":"395","last_page":"415"},"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"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/portfolio-optimization","display_name":"Portfolio optimization","score":0.8110414743423462},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7727089524269104},{"id":"https://openalex.org/keywords/fixed-income","display_name":"Fixed income","score":0.6305207014083862},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.5130185484886169},{"id":"https://openalex.org/keywords/immunization","display_name":"Immunization","score":0.5060030817985535},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.5034241080284119},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.4823969602584839},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.45207691192626953},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.43619304895401},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.41079044342041016},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4042589068412781},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.397426038980484},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3907732367515564},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.35244444012641907},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.22558900713920593},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1719362735748291}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.8110414743423462},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7727089524269104},{"id":"https://openalex.org/C120310109","wikidata":"https://www.wikidata.org/wiki/Q3239315","display_name":"Fixed income","level":3,"score":0.6305207014083862},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5130185484886169},{"id":"https://openalex.org/C2780801004","wikidata":"https://www.wikidata.org/wiki/Q1415366","display_name":"Immunization","level":3,"score":0.5060030817985535},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.5034241080284119},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.4823969602584839},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.45207691192626953},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.43619304895401},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.41079044342041016},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4042589068412781},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.397426038980484},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3907732367515564},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.35244444012641907},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.22558900713920593},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1719362735748291},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","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/C147483822","wikidata":"https://www.wikidata.org/wiki/Q103537","display_name":"Antigen","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","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/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10479-016-2182-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-016-2182-8","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:260:y:2018:i:1:d:10.1007_s10479-016-2182-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-016-2182-8","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:aisberg.unibg.it:10446/70754","is_oa":true,"landing_page_url":"http://hdl.handle.net/10446/70754","pdf_url":null,"source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:aisberg.unibg.it:10446/70754","is_oa":true,"landing_page_url":"http://hdl.handle.net/10446/70754","pdf_url":null,"source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/1","display_name":"No poverty","score":0.41999998688697815}],"awards":[{"id":"https://openalex.org/G1700693412","display_name":null,"funder_award_id":"15-23699S","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"},{"id":"https://openalex.org/G5199861241","display_name":null,"funder_award_id":"SP2016/11","funder_id":"https://openalex.org/F4320323872","funder_display_name":"Vysok\u00e1 \u0160kola B\u00e1nsk\u00e1 - Technick\u00e1 Univerzita Ostrava"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"},{"id":"https://openalex.org/F4320323872","display_name":"Vysok\u00e1 \u0160kola B\u00e1nsk\u00e1 - Technick\u00e1 Univerzita Ostrava","ror":"https://ror.org/05x8mcb75"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":56,"referenced_works":["https://openalex.org/W138558716","https://openalex.org/W1481519737","https://openalex.org/W1497134858","https://openalex.org/W1508957056","https://openalex.org/W1528107910","https://openalex.org/W1534995129","https://openalex.org/W1571591648","https://openalex.org/W1599528562","https://openalex.org/W1964335984","https://openalex.org/W1964478211","https://openalex.org/W1974042923","https://openalex.org/W1987396383","https://openalex.org/W1995834279","https://openalex.org/W1997628660","https://openalex.org/W2002054890","https://openalex.org/W2006486055","https://openalex.org/W2015567894","https://openalex.org/W2019291268","https://openalex.org/W2023953675","https://openalex.org/W2032834934","https://openalex.org/W2046410147","https://openalex.org/W2052936411","https://openalex.org/W2053961053","https://openalex.org/W2055261838","https://openalex.org/W2060264726","https://openalex.org/W2072282266","https://openalex.org/W2076057077","https://openalex.org/W2076741642","https://openalex.org/W2080604889","https://openalex.org/W2089969212","https://openalex.org/W2125183942","https://openalex.org/W2134919172","https://openalex.org/W2139491749","https://openalex.org/W2153580489","https://openalex.org/W2156803658","https://openalex.org/W2202729873","https://openalex.org/W2229529646","https://openalex.org/W2254338027","https://openalex.org/W2261039492","https://openalex.org/W2269475259","https://openalex.org/W2276228428","https://openalex.org/W2504673332","https://openalex.org/W2887104448","https://openalex.org/W3121641555","https://openalex.org/W3122094305","https://openalex.org/W3122806608","https://openalex.org/W3124407081","https://openalex.org/W3124576673","https://openalex.org/W3143262514","https://openalex.org/W4211239526","https://openalex.org/W4234142205","https://openalex.org/W4242278503","https://openalex.org/W4242716581","https://openalex.org/W4243177628","https://openalex.org/W4254518637","https://openalex.org/W7007983995"],"related_works":["https://openalex.org/W3198789915","https://openalex.org/W4327968198","https://openalex.org/W2061327612","https://openalex.org/W1183681342","https://openalex.org/W2496406016","https://openalex.org/W4213344843","https://openalex.org/W605605128","https://openalex.org/W1493156851","https://openalex.org/W2066201159","https://openalex.org/W2419445743"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":5},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3}],"updated_date":"2026-04-21T08:09:41.155169","created_date":"2025-10-10T00:00:00"}