{"id":"https://openalex.org/W4402677215","doi":"https://doi.org/10.1007/s10479-024-06293-x","title":"Enhancing mean\u2013variance portfolio optimization through GANs-based anomaly detection","display_name":"Enhancing mean\u2013variance portfolio optimization through GANs-based anomaly detection","publication_year":2024,"publication_date":"2024-09-20","ids":{"openalex":"https://openalex.org/W4402677215","doi":"https://doi.org/10.1007/s10479-024-06293-x"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-024-06293-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-024-06293-x","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/A5022620664","display_name":"Jang Ho Kim","orcid":"https://orcid.org/0000-0003-0844-2842"},"institutions":[{"id":"https://openalex.org/I197347611","display_name":"Korea University","ror":"https://ror.org/047dqcg40","country_code":"KR","type":"education","lineage":["https://openalex.org/I197347611"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Jang Ho Kim","raw_affiliation_strings":["Graduate School of Management of Technology, Korea University, Seoul, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Management of Technology, Korea University, Seoul, Republic of Korea","institution_ids":["https://openalex.org/I197347611"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5000192621","display_name":"Seyoung Kim","orcid":"https://orcid.org/0009-0005-8788-3495"},"institutions":[{"id":"https://openalex.org/I48566637","display_name":"Ulsan National Institute of Science and Technology","ror":"https://ror.org/017cjz748","country_code":"KR","type":"education","lineage":["https://openalex.org/I48566637"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Seyoung Kim","raw_affiliation_strings":["Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea","institution_ids":["https://openalex.org/I48566637"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100366482","display_name":"Yongjae Lee","orcid":"https://orcid.org/0000-0002-5411-4340"},"institutions":[{"id":"https://openalex.org/I48566637","display_name":"Ulsan National Institute of Science and Technology","ror":"https://ror.org/017cjz748","country_code":"KR","type":"education","lineage":["https://openalex.org/I48566637"]}],"countries":["KR"],"is_corresponding":true,"raw_author_name":"Yongjae Lee","raw_affiliation_strings":["Artificial Intelligence Graduate School, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea","Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea"],"raw_orcid":"https://orcid.org/0000-0002-5411-4340","affiliations":[{"raw_affiliation_string":"Artificial Intelligence Graduate School, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea","institution_ids":["https://openalex.org/I48566637"]},{"raw_affiliation_string":"Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), Ulsan, Republic of Korea","institution_ids":["https://openalex.org/I48566637"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035626547","display_name":"Woo Chang Kim","orcid":"https://orcid.org/0000-0001-8385-9598"},"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":false,"raw_author_name":"Woo Chang Kim","raw_affiliation_strings":["Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), Daejeon, Republic of Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), Daejeon, Republic of Korea","institution_ids":["https://openalex.org/I157485424"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465"},"institutions":[{"id":"https://openalex.org/I145311948","display_name":"Johns Hopkins University","ror":"https://ror.org/00za53h95","country_code":"US","type":"education","lineage":["https://openalex.org/I145311948"]},{"id":"https://openalex.org/I2799853436","display_name":"Johns Hopkins Medicine","ror":"https://ror.org/037zgn354","country_code":"US","type":"healthcare","lineage":["https://openalex.org/I2799853436"]},{"id":"https://openalex.org/I6059380","display_name":"University of Baltimore","ror":"https://ror.org/024gw2733","country_code":"US","type":"education","lineage":["https://openalex.org/I6059380"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["Johns Hopkins University, Hopkins Carey Business School, Baltimore, MD, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Johns Hopkins University, Hopkins Carey Business School, Baltimore, MD, USA","institution_ids":["https://openalex.org/I2799853436","https://openalex.org/I145311948","https://openalex.org/I6059380"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5100366482"],"corresponding_institution_ids":["https://openalex.org/I48566637"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":2.7008,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.91451215,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"346","issue":"1","first_page":"217","last_page":"244"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11512","display_name":"Anomaly Detection Techniques and Applications","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11512","display_name":"Anomaly Detection Techniques and Applications","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.9894999861717224,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10400","display_name":"Network Security and Intrusion Detection","score":0.9614999890327454,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7227969169616699},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.687362790107727},{"id":"https://openalex.org/keywords/anomaly","display_name":"Anomaly (physics)","score":0.5996646285057068},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5901412963867188},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5829517841339111},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5641828775405884},{"id":"https://openalex.org/keywords/anomaly-detection","display_name":"Anomaly detection","score":0.5640173554420471},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.34415215253829956},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.267647922039032},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.25493496656417847},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.2426014542579651},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.14855682849884033},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14322569966316223}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7227969169616699},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.687362790107727},{"id":"https://openalex.org/C12997251","wikidata":"https://www.wikidata.org/wiki/Q567560","display_name":"Anomaly (physics)","level":2,"score":0.5996646285057068},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5901412963867188},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5829517841339111},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5641828775405884},{"id":"https://openalex.org/C739882","wikidata":"https://www.wikidata.org/wiki/Q3560506","display_name":"Anomaly detection","level":2,"score":0.5640173554420471},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.34415215253829956},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.267647922039032},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25493496656417847},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.2426014542579651},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.14855682849884033},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14322569966316223},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C26873012","wikidata":"https://www.wikidata.org/wiki/Q214781","display_name":"Condensed matter physics","level":1,"score":0.0},{"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/s10479-024-06293-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-024-06293-x","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:346:y:2025:i:1:d:10.1007_s10479-024-06293-x","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-024-06293-x","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":[{"score":0.4099999964237213,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[{"id":"https://openalex.org/G1224663829","display_name":null,"funder_award_id":"NRF-2022R1I1A4069163","funder_id":"https://openalex.org/F4320322120","funder_display_name":"National Research Foundation of Korea"},{"id":"https://openalex.org/G2246695849","display_name":null,"funder_award_id":"RS-2020-II201336","funder_id":"https://openalex.org/F4320328359","funder_display_name":"Ministry of Science and ICT, South Korea"}],"funders":[{"id":"https://openalex.org/F4320322120","display_name":"National Research Foundation of Korea","ror":"https://ror.org/013aysd81"},{"id":"https://openalex.org/F4320328359","display_name":"Ministry of Science and ICT, South Korea","ror":"https://ror.org/01wpjm123"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":63,"referenced_works":["https://openalex.org/W4012559","https://openalex.org/W1821315764","https://openalex.org/W1976658031","https://openalex.org/W1986144586","https://openalex.org/W2015856032","https://openalex.org/W2018764858","https://openalex.org/W2023166574","https://openalex.org/W2062125287","https://openalex.org/W2073103707","https://openalex.org/W2084077813","https://openalex.org/W2119963163","https://openalex.org/W2127152800","https://openalex.org/W2131050038","https://openalex.org/W2137428051","https://openalex.org/W2154844766","https://openalex.org/W2169046500","https://openalex.org/W2176483053","https://openalex.org/W2179641039","https://openalex.org/W2341763561","https://openalex.org/W2472119793","https://openalex.org/W2548179741","https://openalex.org/W2599354622","https://openalex.org/W2622370560","https://openalex.org/W2745666238","https://openalex.org/W2894510582","https://openalex.org/W2911200746","https://openalex.org/W2913933677","https://openalex.org/W3011974631","https://openalex.org/W3015694082","https://openalex.org/W3021248164","https://openalex.org/W3080273007","https://openalex.org/W3093352713","https://openalex.org/W3120331202","https://openalex.org/W3121638816","https://openalex.org/W3124158341","https://openalex.org/W3125497171","https://openalex.org/W3127037042","https://openalex.org/W3130326302","https://openalex.org/W3136173905","https://openalex.org/W3187097032","https://openalex.org/W3192290203","https://openalex.org/W3200487862","https://openalex.org/W4200512811","https://openalex.org/W4205388843","https://openalex.org/W4214913077","https://openalex.org/W4226344673","https://openalex.org/W4233409427","https://openalex.org/W4239181501","https://openalex.org/W4251843927","https://openalex.org/W4285391355","https://openalex.org/W4384826939","https://openalex.org/W4385421379","https://openalex.org/W4385664847","https://openalex.org/W4387536978","https://openalex.org/W4388929300","https://openalex.org/W4388994490","https://openalex.org/W4391402146","https://openalex.org/W4393314472","https://openalex.org/W4403694670","https://openalex.org/W6746090280","https://openalex.org/W6807091881","https://openalex.org/W7023871242","https://openalex.org/W7039497939"],"related_works":["https://openalex.org/W2806741695","https://openalex.org/W4290647774","https://openalex.org/W3189286258","https://openalex.org/W3207797160","https://openalex.org/W3210364259","https://openalex.org/W4300558037","https://openalex.org/W2912112202","https://openalex.org/W2667207928","https://openalex.org/W4377864969","https://openalex.org/W2972971679"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":1}],"updated_date":"2026-06-23T13:55:30.953635","created_date":"2025-10-10T00:00:00"}
