{"id":"https://openalex.org/W3032985075","doi":"https://doi.org/10.1007/s10957-020-01687-w","title":"Robust Portfolio Optimization with Multi-Factor Stochastic Volatility","display_name":"Robust Portfolio Optimization with Multi-Factor Stochastic Volatility","publication_year":2020,"publication_date":"2020-06-06","ids":{"openalex":"https://openalex.org/W3032985075","doi":"https://doi.org/10.1007/s10957-020-01687-w","mag":"3032985075"},"language":"en","primary_location":{"id":"doi:10.1007/s10957-020-01687-w","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10957-020-01687-w","pdf_url":null,"source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"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":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1910.06872","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101110595","display_name":"Ben-Zhang Yang","orcid":null},"institutions":[{"id":"https://openalex.org/I24185976","display_name":"Sichuan University","ror":"https://ror.org/011ashp19","country_code":"CN","type":"education","lineage":["https://openalex.org/I24185976"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ben-Zhang Yang","raw_affiliation_strings":["Department of Mathematics, Sichuan University, Chengdu, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Sichuan University, Chengdu, China","institution_ids":["https://openalex.org/I24185976"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045561081","display_name":"Xiaoping Lu","orcid":"https://orcid.org/0000-0003-1090-8437"},"institutions":[{"id":"https://openalex.org/I204824540","display_name":"University of Wollongong","ror":"https://ror.org/00jtmb277","country_code":"AU","type":"education","lineage":["https://openalex.org/I204824540"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Xiaoping Lu","raw_affiliation_strings":["School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia"],"raw_orcid":"https://orcid.org/0000-0003-1090-8437","affiliations":[{"raw_affiliation_string":"School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia","institution_ids":["https://openalex.org/I204824540"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5071448935","display_name":"Guiyuan Ma","orcid":"https://orcid.org/0000-0002-0257-9680"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Guiyuan Ma","raw_affiliation_strings":["Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060513029","display_name":"Song\u2010Ping Zhu","orcid":"https://orcid.org/0000-0002-2863-0640"},"institutions":[{"id":"https://openalex.org/I204824540","display_name":"University of Wollongong","ror":"https://ror.org/00jtmb277","country_code":"AU","type":"education","lineage":["https://openalex.org/I204824540"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Song-Ping Zhu","raw_affiliation_strings":["School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia","institution_ids":["https://openalex.org/I204824540"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5045561081"],"corresponding_institution_ids":["https://openalex.org/I204824540"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":2.4104,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.89831353,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"186","issue":"1","first_page":"264","last_page":"298"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9973000288009644,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"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":0.6667856574058533},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5996680855751038},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.587196409702301},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5519216060638428},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5237676501274109},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4898657500743866},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.48124122619628906},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4735614061355591},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.45374590158462524},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.42306411266326904},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.25031137466430664},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2275271713733673},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.12092751264572144}],"concepts":[{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.6667856574058533},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5996680855751038},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.587196409702301},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5519216060638428},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5237676501274109},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4898657500743866},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.48124122619628906},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4735614061355591},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.45374590158462524},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42306411266326904},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.25031137466430664},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2275271713733673},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.12092751264572144}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10957-020-01687-w","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10957-020-01687-w","pdf_url":null,"source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"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":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1910.06872","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1910.06872","pdf_url":"https://arxiv.org/pdf/1910.06872","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},{"id":"pmh:oai:RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10957-020-01687-w","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":"pmh:oai:arXiv.org:1910.06872","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1910.06872","pdf_url":"https://arxiv.org/pdf/1910.06872","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"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":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":50,"referenced_works":["https://openalex.org/W653384395","https://openalex.org/W1514815886","https://openalex.org/W1547074804","https://openalex.org/W1573403487","https://openalex.org/W1926706674","https://openalex.org/W1986992766","https://openalex.org/W1991567646","https://openalex.org/W2002370620","https://openalex.org/W2002511774","https://openalex.org/W2014389988","https://openalex.org/W2020769838","https://openalex.org/W2046943474","https://openalex.org/W2064978316","https://openalex.org/W2073476019","https://openalex.org/W2078220623","https://openalex.org/W2080979544","https://openalex.org/W2082406167","https://openalex.org/W2094206697","https://openalex.org/W2104741357","https://openalex.org/W2128266550","https://openalex.org/W2129065137","https://openalex.org/W2131563583","https://openalex.org/W2154989692","https://openalex.org/W2163191305","https://openalex.org/W2601467878","https://openalex.org/W2605254628","https://openalex.org/W2606782707","https://openalex.org/W2621281432","https://openalex.org/W2789725246","https://openalex.org/W2889466991","https://openalex.org/W2912416958","https://openalex.org/W2919687292","https://openalex.org/W2939722352","https://openalex.org/W2946324444","https://openalex.org/W2974958980","https://openalex.org/W3014631070","https://openalex.org/W3121479438","https://openalex.org/W3122025015","https://openalex.org/W3122434727","https://openalex.org/W3122817125","https://openalex.org/W3123299624","https://openalex.org/W3123332101","https://openalex.org/W3123581802","https://openalex.org/W3123826715","https://openalex.org/W3123868759","https://openalex.org/W3123946338","https://openalex.org/W3125505968","https://openalex.org/W3125739561","https://openalex.org/W4239742523","https://openalex.org/W4388063256"],"related_works":["https://openalex.org/W3046357205","https://openalex.org/W3122544694","https://openalex.org/W3123954224","https://openalex.org/W2561005359","https://openalex.org/W3126075830","https://openalex.org/W4300827384","https://openalex.org/W2950618784","https://openalex.org/W3123174635","https://openalex.org/W1491092204","https://openalex.org/W3123155432"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":1}],"updated_date":"2026-06-19T17:40:00.097472","created_date":"2025-10-10T00:00:00"}