{"id":"https://openalex.org/W4407013469","doi":"https://doi.org/10.1007/s10479-025-06495-x","title":"Integrating multiple sources of ordinal information in portfolio optimization","display_name":"Integrating multiple sources of ordinal information in portfolio optimization","publication_year":2025,"publication_date":"2025-01-31","ids":{"openalex":"https://openalex.org/W4407013469","doi":"https://doi.org/10.1007/s10479-025-06495-x"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-025-06495-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-025-06495-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-025-06495-x.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/s10479-025-06495-x.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056529887","display_name":"Eranda \u00c7ela","orcid":"https://orcid.org/0000-0002-5099-8804"},"institutions":[{"id":"https://openalex.org/I4092182","display_name":"Graz University of Technology","ror":"https://ror.org/00d7xrm67","country_code":"AT","type":"education","lineage":["https://openalex.org/I4092182"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Eranda \u00c7ela","raw_affiliation_strings":["Department of Discrete Mathematics, TU Graz, Steyrergasse 30, 8010, Graz, Austria"],"raw_orcid":"https://orcid.org/0000-0002-5099-8804","affiliations":[{"raw_affiliation_string":"Department of Discrete Mathematics, TU Graz, Steyrergasse 30, 8010, Graz, Austria","institution_ids":["https://openalex.org/I4092182"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047331829","display_name":"Stephan H\u00e4fner","orcid":"https://orcid.org/0000-0001-5946-0499"},"institutions":[{"id":"https://openalex.org/I15766117","display_name":"University of Graz","ror":"https://ror.org/01faaaf77","country_code":"AT","type":"education","lineage":["https://openalex.org/I15766117"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Stephan Hafner","raw_affiliation_strings":["Department of Operations and Information Systems, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Operations and Information Systems, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria","institution_ids":["https://openalex.org/I15766117"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082701392","display_name":"Roland Mestel","orcid":"https://orcid.org/0000-0002-8292-0382"},"institutions":[{"id":"https://openalex.org/I15766117","display_name":"University of Graz","ror":"https://ror.org/01faaaf77","country_code":"AT","type":"education","lineage":["https://openalex.org/I15766117"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Roland Mestel","raw_affiliation_strings":["Department of Banking and Finance, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria"],"raw_orcid":"https://orcid.org/0000-0002-8292-0382","affiliations":[{"raw_affiliation_string":"Department of Banking and Finance, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria","institution_ids":["https://openalex.org/I15766117"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069744603","display_name":"Ulrich Pferschy","orcid":"https://orcid.org/0000-0001-8881-1497"},"institutions":[{"id":"https://openalex.org/I15766117","display_name":"University of Graz","ror":"https://ror.org/01faaaf77","country_code":"AT","type":"education","lineage":["https://openalex.org/I15766117"]}],"countries":["AT"],"is_corresponding":true,"raw_author_name":"Ulrich Pferschy","raw_affiliation_strings":["Department of Operations and Information Systems, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria"],"raw_orcid":"https://orcid.org/0000-0001-8881-1497","affiliations":[{"raw_affiliation_string":"Department of Operations and Information Systems, University of Graz, Universitaetsstrasse 15, 8010, Graz, Austria","institution_ids":["https://openalex.org/I15766117"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5069744603"],"corresponding_institution_ids":["https://openalex.org/I15766117"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":{"value":2990,"currency":"USD","value_usd":2990},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.01579641,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"346","issue":"3","first_page":"1967","last_page":"1995"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"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":0.9997000098228455,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12709","display_name":"Optimization and Mathematical Programming","score":0.9868000149726868,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.8251258134841919},{"id":"https://openalex.org/keywords/ordinal-optimization","display_name":"Ordinal optimization","score":0.7344304323196411},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5684735774993896},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5417587757110596},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5160398483276367},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3900294899940491},{"id":"https://openalex.org/keywords/ordinal-data","display_name":"Ordinal data","score":0.28312885761260986},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24846473336219788},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.17648983001708984},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.16889256238937378},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16505369544029236},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.1445806920528412}],"concepts":[{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.8251258134841919},{"id":"https://openalex.org/C81386100","wikidata":"https://www.wikidata.org/wiki/Q7100792","display_name":"Ordinal optimization","level":3,"score":0.7344304323196411},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5684735774993896},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5417587757110596},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5160398483276367},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3900294899940491},{"id":"https://openalex.org/C85461838","wikidata":"https://www.wikidata.org/wiki/Q7100785","display_name":"Ordinal data","level":2,"score":0.28312885761260986},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24846473336219788},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.17648983001708984},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.16889256238937378},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16505369544029236},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1445806920528412}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-025-06495-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-025-06495-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-025-06495-x.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:3:d:10.1007_s10479-025-06495-x","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-025-06495-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":{"id":"doi:10.1007/s10479-025-06495-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-025-06495-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10479-025-06495-x.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/F4320325582","display_name":"Karl-Franzens-Universit\u00e4t Graz","ror":"https://ror.org/01faaaf77"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4407013469.pdf","grobid_xml":"https://content.openalex.org/works/W4407013469.grobid-xml"},"referenced_works_count":59,"referenced_works":["https://openalex.org/W13690856","https://openalex.org/W28519790","https://openalex.org/W182456511","https://openalex.org/W1482298744","https://openalex.org/W1491857540","https://openalex.org/W1600537614","https://openalex.org/W1678351822","https://openalex.org/W1968498770","https://openalex.org/W1978753906","https://openalex.org/W1984815937","https://openalex.org/W1986030799","https://openalex.org/W2006093909","https://openalex.org/W2014787744","https://openalex.org/W2016980223","https://openalex.org/W2033500977","https://openalex.org/W2042456949","https://openalex.org/W2051834357","https://openalex.org/W2059151228","https://openalex.org/W2069099760","https://openalex.org/W2071334094","https://openalex.org/W2073103707","https://openalex.org/W2087009359","https://openalex.org/W2091858563","https://openalex.org/W2098106502","https://openalex.org/W2131868098","https://openalex.org/W2133304166","https://openalex.org/W2138490239","https://openalex.org/W2163969674","https://openalex.org/W2164883547","https://openalex.org/W2165775468","https://openalex.org/W2504376371","https://openalex.org/W2772548197","https://openalex.org/W2902723719","https://openalex.org/W2956138911","https://openalex.org/W3121520838","https://openalex.org/W3122732812","https://openalex.org/W3123942211","https://openalex.org/W3123979261","https://openalex.org/W3125435015","https://openalex.org/W3125535934","https://openalex.org/W3129530123","https://openalex.org/W3137931172","https://openalex.org/W4200467433","https://openalex.org/W4213183334","https://openalex.org/W4224279669","https://openalex.org/W4235911356","https://openalex.org/W4252519795","https://openalex.org/W4296288933","https://openalex.org/W4300850178","https://openalex.org/W4384826939","https://openalex.org/W6601172960","https://openalex.org/W6679950865","https://openalex.org/W6683362788","https://openalex.org/W6684402084","https://openalex.org/W6740934912","https://openalex.org/W6762424151","https://openalex.org/W6772108749","https://openalex.org/W6807091881","https://openalex.org/W6841649706"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4206877017","https://openalex.org/W4225528185","https://openalex.org/W4327779378","https://openalex.org/W2795635811"],"abstract_inverted_index":{"Abstract":[0],"In":[1,33,88],"this":[2,25,125],"contribution":[3],"we":[4,38,157],"consider":[5],"multiple":[6],"qualitative":[7],"views":[8],"specified":[9],"as":[10,67,141],"total":[11,50,110,116,127],"orders":[12,111,177],"of":[13,44,55,75,144,162,169,196,201],"the":[14,34,56,76,89,108,130,145,160,163,167,202],"expected":[15,62,119],"asset":[16,45,63,120],"returns":[17,46,64,121],"and":[18,85,102,154,173,192,198],"discuss":[19],"two":[20,164],"different":[21,194],"approaches":[22,165],"for":[23,47,71,124,188,193],"incorporating":[24],"input":[26,69,143],"in":[27,166],"a":[28,41,113],"mean\u2013variance":[29,77,147],"portfolio":[30,78,170],"optimization":[31,36,73,185],"model.":[32],"robust":[35,72,184],"approach":[37,92],"first":[39],"compute":[40],"posterior":[42],"expectation":[43],"every":[48],"given":[49],"order":[51,90],"by":[52,129,178],"an":[53,142],"extension":[54],"Black\u2013Litterman":[57],"(BL)":[58],"framework.":[59],"Then":[60,118],"these":[61,137],"are":[65,104,122,139],"considered":[66],"possible":[68],"scenarios":[70],"variants":[74],"model":[79],"(max\u2013min":[80],"robustness,":[81],"min-max":[82],"regret":[83],"robustness":[84],"soft":[86],"robustness).":[87],"aggregation":[91],"rules":[93],"from":[94,151],"social":[95,179],"choice":[96,180],"theory":[97],"(Borda,":[98],"Footrule,":[99],"Copeland,":[100],"Best-of-k":[101],"MC4)":[103],"used":[105,140],"to":[106],"aggregate":[107],"individual":[109],"into":[112],"single":[114],"\u201cconsensus":[115,126],"order\u201d.":[117],"computed":[123],"order\u201d":[128],"extended":[131],"BL":[132],"framework":[133],"mentioned":[134],"above.":[135],"Finally,":[136],"expectations":[138],"classical":[146],"optimization.":[148],"Using":[149],"data":[150,190],"EUROSTOXX":[152],"50":[153],"S&amp;P":[155],"100":[156],"empirically":[158],"compare":[159],"success":[161],"context":[168],"performance":[171],"analysis":[172],"observe":[174],"that":[175],"aggregating":[176],"methods":[181,187],"mostly":[182],"outperforms":[183],"based":[186],"both":[189],"sets":[191],"combinations":[195],"confidence":[197],"quality":[199],"levels":[200],"views.":[203]},"counts_by_year":[],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}
