{"id":"https://openalex.org/W4402482990","doi":"https://doi.org/10.1007/s10479-024-06250-8","title":"The maximum geometric mean criterion: revisiting the Markowitz\u2013Samuelson debate: survey and analysis","display_name":"The maximum geometric mean criterion: revisiting the Markowitz\u2013Samuelson debate: survey and analysis","publication_year":2024,"publication_date":"2024-09-12","ids":{"openalex":"https://openalex.org/W4402482990","doi":"https://doi.org/10.1007/s10479-024-06250-8"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-024-06250-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-024-06250-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-024-06250-8.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","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":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10479-024-06250-8.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103048893","display_name":"Haim Levy","orcid":"https://orcid.org/0000-0001-8623-3507"},"institutions":[{"id":"https://openalex.org/I197251160","display_name":"Hebrew University of Jerusalem","ror":"https://ror.org/03qxff017","country_code":"IL","type":"education","lineage":["https://openalex.org/I197251160"]}],"countries":["IL"],"is_corresponding":true,"raw_author_name":"Haim Levy","raw_affiliation_strings":["Hebrew University, Jerusalem, Israel"],"affiliations":[{"raw_affiliation_string":"Hebrew University, Jerusalem, Israel","institution_ids":["https://openalex.org/I197251160"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5103048893"],"corresponding_institution_ids":["https://openalex.org/I197251160"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":2.3311,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.92219006,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":99},"biblio":{"volume":"346","issue":"1","first_page":"263","last_page":"284"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9853000044822693,"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"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9853000044822693,"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/T10315","display_name":"Decision-Making and Behavioral Economics","score":0.9732000231742859,"subfield":{"id":"https://openalex.org/subfields/1800","display_name":"General Decision Sciences"},"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9690999984741211,"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/theory-of-computation","display_name":"Theory of computation","score":0.7864518165588379},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5690679550170898},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5447569489479065},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3777179718017578},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.37185561656951904},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.33191823959350586},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.13726729154586792}],"concepts":[{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.7864518165588379},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5690679550170898},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5447569489479065},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3777179718017578},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37185561656951904},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.33191823959350586},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.13726729154586792}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-024-06250-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-024-06250-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-024-06250-8.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","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:346:y:2025:i:1:d:10.1007_s10479-024-06250-8","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-024-06250-8","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"}],"best_oa_location":{"id":"doi:10.1007/s10479-024-06250-8","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-024-06250-8","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-024-06250-8.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321950","display_name":"Hebrew University of Jerusalem","ror":"https://ror.org/03qxff017"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4402482990.pdf","grobid_xml":"https://content.openalex.org/works/W4402482990.grobid-xml"},"referenced_works_count":48,"referenced_works":["https://openalex.org/W1560623005","https://openalex.org/W1562019181","https://openalex.org/W1574786337","https://openalex.org/W1967067168","https://openalex.org/W1971432209","https://openalex.org/W1989285461","https://openalex.org/W2001202328","https://openalex.org/W2003037793","https://openalex.org/W2010092964","https://openalex.org/W2015167078","https://openalex.org/W2023623916","https://openalex.org/W2025611071","https://openalex.org/W2029056003","https://openalex.org/W2034489173","https://openalex.org/W2047260552","https://openalex.org/W2054551268","https://openalex.org/W2060744101","https://openalex.org/W2062560596","https://openalex.org/W2064021143","https://openalex.org/W2070303558","https://openalex.org/W2074928461","https://openalex.org/W2082659300","https://openalex.org/W2125149168","https://openalex.org/W2132187824","https://openalex.org/W2137689207","https://openalex.org/W2143532160","https://openalex.org/W2166219456","https://openalex.org/W2171543997","https://openalex.org/W2333430783","https://openalex.org/W2570834760","https://openalex.org/W3011865677","https://openalex.org/W3022853033","https://openalex.org/W3121136051","https://openalex.org/W3121979390","https://openalex.org/W3124199429","https://openalex.org/W3209609397","https://openalex.org/W4241682767","https://openalex.org/W4252519795","https://openalex.org/W4252707658","https://openalex.org/W4298863114","https://openalex.org/W4391346886","https://openalex.org/W4401929770","https://openalex.org/W6632396294","https://openalex.org/W6633304335","https://openalex.org/W6685285673","https://openalex.org/W6807091881","https://openalex.org/W7023871242","https://openalex.org/W7082509414"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2064563243","https://openalex.org/W1502198272","https://openalex.org/W4250775169","https://openalex.org/W2017540542","https://openalex.org/W2006758266","https://openalex.org/W2066504725","https://openalex.org/W1527813328","https://openalex.org/W2073254488","https://openalex.org/W4313389613"],"abstract_inverted_index":{"Abstract":[0],"By":[1],"the":[2,19,38,44,66,71,104,118],"Almost":[3],"First-degree":[4],"Stochastic":[5],"Dominance":[6],"(AFSD)":[7],"rule,":[8],"corresponding":[9],"only":[10],"to":[11],"economically":[12],"relevant":[13,41],"preferences,":[14],"for":[15,37,75],"an":[16],"infinite":[17],"horizon":[18,120],"$$theoretical$$":[20],"<mml:math":[21,54,83,96],"xmlns:mml=\"http://www.w3.org/1998/Math/MathML\">":[22,55,84,97],"<mml:mrow>":[23,56,85,98],"<mml:mi>theoretical</mml:mi>":[24],"</mml:mrow>":[25,58,89,102],"</mml:math>":[26,59,90,103],"claim":[27],"of":[28,43],"both":[29],"Markowitz":[30,52],"and":[31],"Samuelson":[32],"is":[33,60,121],"not":[34],"intact.":[35],"However,":[36],"practically":[39],"more":[40],"case":[42],"long":[45,116],"but":[46],"finite":[47],"horizon,":[48],"with":[49,70],"stocks-bonds":[50],"portfolios,":[51,114],"$$empirically$$":[53],"<mml:mi>empirically</mml:mi>":[57],"right":[61],"as":[62,115,117],"we":[63],"find":[64],"that":[65],"MGM":[67,105],"portfolio":[68,74,106],"coincides":[69],"optimal":[72,112],"myopic":[73,113],"all":[76,111],"risk":[77],"aversion":[78],"parameters":[79],"$$\\alpha":[80,93],"&lt;":[81],"1.7$$":[82,95],"<mml:mi>\u03b1</mml:mi>":[86,99],"<mml:mo>&lt;</mml:mo>":[87],"<mml:mn>1.7</mml:mn>":[88,101],".":[91],"For":[92],"\\ge":[94],"<mml:mo>\u2265</mml:mo>":[100],"dominates":[107],"by":[108],"AFSD":[109],"rule":[110],"investment":[119],"12\u201315":[122],"years":[123],"or":[124],"longer.":[125]},"counts_by_year":[{"year":2026,"cited_by_count":2}],"updated_date":"2026-03-14T06:41:57.775601","created_date":"2025-10-10T00:00:00"}
