{"id":"https://openalex.org/W2963550004","doi":"https://doi.org/10.1007/s10479-019-03320-0","title":"Comonotonicity and low volatility effect","display_name":"Comonotonicity and low volatility effect","publication_year":2019,"publication_date":"2019-07-25","ids":{"openalex":"https://openalex.org/W2963550004","doi":"https://doi.org/10.1007/s10479-019-03320-0","mag":"2963550004"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-019-03320-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03320-0","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/A5021333699","display_name":"Wan-Ni Lai","orcid":null},"institutions":[{"id":"https://openalex.org/I181418319","display_name":"SKEMA Business School","ror":"https://ror.org/036h8vg94","country_code":"FR","type":"education","lineage":["https://openalex.org/I181418319"]},{"id":"https://openalex.org/I201841394","display_name":"Universit\u00e9 C\u00f4te d'Azur","ror":"https://ror.org/019tgvf94","country_code":"FR","type":"education","lineage":["https://openalex.org/I201841394"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Wan-Ni Lai","raw_affiliation_strings":["SKEMA Business School, Universit\u00e9 C\u00f4te d\u2019Azur, Nice, France","SKEMA Business School, Universit\u00e9 C\u00f4te d'Azur, Nice, France"],"affiliations":[{"raw_affiliation_string":"SKEMA Business School, Universit\u00e9 C\u00f4te d\u2019Azur, Nice, France","institution_ids":["https://openalex.org/I181418319","https://openalex.org/I201841394"]},{"raw_affiliation_string":"SKEMA Business School, Universit\u00e9 C\u00f4te d'Azur, Nice, France","institution_ids":["https://openalex.org/I181418319","https://openalex.org/I201841394"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100348259","display_name":"Yi\u2010Ting Chen","orcid":"https://orcid.org/0000-0001-7924-5649"},"institutions":[{"id":"https://openalex.org/I4210126694","display_name":"Cardiovascular Center Frankfurt","ror":"https://ror.org/03e2b2m72","country_code":"DE","type":"facility","lineage":["https://openalex.org/I4210126694"]},{"id":"https://openalex.org/I148366613","display_name":"National Yang Ming Chiao Tung University","ror":"https://ror.org/00se2k293","country_code":"TW","type":"education","lineage":["https://openalex.org/I148366613"]}],"countries":["DE","TW"],"is_corresponding":false,"raw_author_name":"Yi-Ting Chen","raw_affiliation_strings":["InfoTech Frankfurt, Frankfurt am Main, Germany","School of Computer Science, National Chiao Tung University, Hsinchu, Taiwan"],"affiliations":[{"raw_affiliation_string":"InfoTech Frankfurt, Frankfurt am Main, Germany","institution_ids":["https://openalex.org/I4210126694"]},{"raw_affiliation_string":"School of Computer Science, National Chiao Tung University, Hsinchu, Taiwan","institution_ids":["https://openalex.org/I148366613"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053020626","display_name":"Edward W. Sun","orcid":"https://orcid.org/0000-0001-6680-0738"},"institutions":[{"id":"https://openalex.org/I51205905","display_name":"Kedge Business School","ror":"https://ror.org/00wk3s644","country_code":"FR","type":"education","lineage":["https://openalex.org/I51205905"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Edward W. Sun","raw_affiliation_strings":["KEDGE Business School, 680 Cours de la Lib\u00e8ration, 33405, Talance Cedex, France"],"affiliations":[{"raw_affiliation_string":"KEDGE Business School, 680 Cours de la Lib\u00e8ration, 33405, Talance Cedex, France","institution_ids":["https://openalex.org/I51205905"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5053020626"],"corresponding_institution_ids":["https://openalex.org/I51205905"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.5711,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.71781716,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"299","issue":"1-2","first_page":"1057","last_page":"1099"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9991000294685364,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9991000294685364,"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":0.998199999332428,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9958000183105469,"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/volatility","display_name":"Volatility (finance)","score":0.815798819065094},{"id":"https://openalex.org/keywords/volatility-risk-premium","display_name":"Volatility risk premium","score":0.7361342906951904},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.7090452909469604},{"id":"https://openalex.org/keywords/volatility-swap","display_name":"Volatility swap","score":0.6666176319122314},{"id":"https://openalex.org/keywords/downside-risk","display_name":"Downside risk","score":0.6653544902801514},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6229045391082764},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.600949227809906},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.5966401696205139},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.5641120672225952},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5529808402061462},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.49648410081863403},{"id":"https://openalex.org/keywords/monotonic-function","display_name":"Monotonic function","score":0.4187777042388916},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.370491623878479},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.15145456790924072}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.815798819065094},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.7361342906951904},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.7090452909469604},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.6666176319122314},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.6653544902801514},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6229045391082764},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.600949227809906},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5966401696205139},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5641120672225952},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5529808402061462},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.49648410081863403},{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.4187777042388916},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.370491623878479},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15145456790924072},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-019-03320-0","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03320-0","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:299:y:2021:i:1:d:10.1007_s10479-019-03320-0","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-019-03320-0","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/13","display_name":"Climate action","score":0.49000000953674316}],"awards":[],"funders":[{"id":"https://openalex.org/F4320320875","display_name":"Deutscher Akademischer Austauschdienst","ror":"https://ror.org/039djdh30"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W1485670298","https://openalex.org/W1534644115","https://openalex.org/W1537156891","https://openalex.org/W1768229816","https://openalex.org/W1963541556","https://openalex.org/W1970205847","https://openalex.org/W1986551140","https://openalex.org/W1995834279","https://openalex.org/W2002840180","https://openalex.org/W2010272128","https://openalex.org/W2011747727","https://openalex.org/W2018761396","https://openalex.org/W2027446359","https://openalex.org/W2032795147","https://openalex.org/W2037126904","https://openalex.org/W2045529815","https://openalex.org/W2063918865","https://openalex.org/W2081877251","https://openalex.org/W2084050624","https://openalex.org/W2087041684","https://openalex.org/W2093260403","https://openalex.org/W2096393799","https://openalex.org/W2113208252","https://openalex.org/W2125142831","https://openalex.org/W2125520394","https://openalex.org/W2135606128","https://openalex.org/W2136120210","https://openalex.org/W2143152597","https://openalex.org/W2148993780","https://openalex.org/W2154715484","https://openalex.org/W2158226696","https://openalex.org/W2168519026","https://openalex.org/W2254539157","https://openalex.org/W2346862349","https://openalex.org/W2548704698","https://openalex.org/W2589110831","https://openalex.org/W2624825195","https://openalex.org/W2916352102","https://openalex.org/W2949947475","https://openalex.org/W3121841769","https://openalex.org/W3122244915","https://openalex.org/W3122365139","https://openalex.org/W3122516690","https://openalex.org/W3122800917","https://openalex.org/W3122942322","https://openalex.org/W3123007527","https://openalex.org/W3123443250","https://openalex.org/W3123639445","https://openalex.org/W3123641801","https://openalex.org/W3123906865","https://openalex.org/W3123962323","https://openalex.org/W3124431622","https://openalex.org/W3124501327","https://openalex.org/W3124675969","https://openalex.org/W3125140573","https://openalex.org/W3125951730","https://openalex.org/W3125984145","https://openalex.org/W4211170237","https://openalex.org/W4232458913","https://openalex.org/W4233497362","https://openalex.org/W4237239309","https://openalex.org/W4293092461","https://openalex.org/W6674331964","https://openalex.org/W6789471570"],"related_works":["https://openalex.org/W2088568893","https://openalex.org/W1520262233","https://openalex.org/W1568116564","https://openalex.org/W2583052946","https://openalex.org/W3021990033","https://openalex.org/W1513704449","https://openalex.org/W3121428450","https://openalex.org/W1501131421","https://openalex.org/W3122238840","https://openalex.org/W3125968500"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"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"}