{"id":"https://openalex.org/W4403337289","doi":"https://doi.org/10.1007/s10957-024-02550-y","title":"Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity","display_name":"Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity","publication_year":2024,"publication_date":"2024-10-12","ids":{"openalex":"https://openalex.org/W4403337289","doi":"https://doi.org/10.1007/s10957-024-02550-y"},"language":"en","primary_location":{"id":"doi:10.1007/s10957-024-02550-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-024-02550-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-024-02550-y.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","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":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10957-024-02550-y.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083056696","display_name":"Zhengyang Fan","orcid":null},"institutions":[{"id":"https://openalex.org/I162714631","display_name":"George Mason University","ror":"https://ror.org/02jqj7156","country_code":"US","type":"education","lineage":["https://openalex.org/I162714631"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Zhengyang Fan","raw_affiliation_strings":["Department of Systems Engineering and Operations Research, George Mason University, Fairfax, USA"],"affiliations":[{"raw_affiliation_string":"Department of Systems Engineering and Operations Research, George Mason University, Fairfax, USA","institution_ids":["https://openalex.org/I162714631"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5021431713","display_name":"Ran Ji","orcid":null},"institutions":[{"id":"https://openalex.org/I162714631","display_name":"George Mason University","ror":"https://ror.org/02jqj7156","country_code":"US","type":"education","lineage":["https://openalex.org/I162714631"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ran Ji","raw_affiliation_strings":["Department of Systems Engineering and Operations Research, George Mason University, Fairfax, USA"],"affiliations":[{"raw_affiliation_string":"Department of Systems Engineering and Operations Research, George Mason University, Fairfax, USA","institution_ids":["https://openalex.org/I162714631"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5023872111","display_name":"Miguel A. Lejeune","orcid":"https://orcid.org/0000-0001-6952-7212"},"institutions":[{"id":"https://openalex.org/I193531525","display_name":"George Washington University","ror":"https://ror.org/00y4zzh67","country_code":"US","type":"education","lineage":["https://openalex.org/I193531525"]},{"id":"https://openalex.org/I4210133369","display_name":"Decision Sciences (United States)","ror":"https://ror.org/03gcvf773","country_code":"US","type":"company","lineage":["https://openalex.org/I4210133369"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Miguel A. Lejeune","raw_affiliation_strings":["Department of Decision Sciences, The George Washington University, Washington DC, USA"],"affiliations":[{"raw_affiliation_string":"Department of Decision Sciences, The George Washington University, Washington DC, USA","institution_ids":["https://openalex.org/I193531525","https://openalex.org/I4210133369"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5083056696"],"corresponding_institution_ids":["https://openalex.org/I162714631"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":3.5942,"has_fulltext":true,"cited_by_count":7,"citation_normalized_percentile":{"value":0.93167023,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":98},"biblio":{"volume":"203","issue":"3","first_page":"2870","last_page":"2907"},"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9969000220298767,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9891999959945679,"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/copula","display_name":"Copula (linguistics)","score":0.7953883409500122},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6831456422805786},{"id":"https://openalex.org/keywords/ambiguity","display_name":"Ambiguity","score":0.6606473922729492},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.57838374376297},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.527691125869751},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5162463188171387},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5132162570953369},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.46014437079429626},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3969360291957855},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.38072097301483154},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22052553296089172},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.18341901898384094},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.12353146076202393},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.09891200065612793}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.7953883409500122},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6831456422805786},{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.6606473922729492},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.57838374376297},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.527691125869751},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5162463188171387},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5132162570953369},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.46014437079429626},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3969360291957855},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38072097301483154},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22052553296089172},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.18341901898384094},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12353146076202393},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.09891200065612793},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10957-024-02550-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-024-02550-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-024-02550-y.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:joptap:v:203:y:2024:i:3:d:10.1007_s10957-024-02550-y","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10957-024-02550-y","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/s10957-024-02550-y","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-024-02550-y","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-024-02550-y.pdf","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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4403337289.pdf","grobid_xml":"https://content.openalex.org/works/W4403337289.grobid-xml"},"referenced_works_count":44,"referenced_works":["https://openalex.org/W1529468743","https://openalex.org/W1647779468","https://openalex.org/W1945509387","https://openalex.org/W1972388944","https://openalex.org/W1988622494","https://openalex.org/W1992105816","https://openalex.org/W2001414341","https://openalex.org/W2009385925","https://openalex.org/W2017332597","https://openalex.org/W2021472931","https://openalex.org/W2038865108","https://openalex.org/W2069099760","https://openalex.org/W2069936503","https://openalex.org/W2073576149","https://openalex.org/W2075887074","https://openalex.org/W2092866161","https://openalex.org/W2155511751","https://openalex.org/W2155945500","https://openalex.org/W2163969674","https://openalex.org/W2164883547","https://openalex.org/W2336156739","https://openalex.org/W2398899353","https://openalex.org/W2494873755","https://openalex.org/W2767515154","https://openalex.org/W2793108066","https://openalex.org/W2801076774","https://openalex.org/W2808100825","https://openalex.org/W2886551330","https://openalex.org/W2921349977","https://openalex.org/W2951191911","https://openalex.org/W2962860740","https://openalex.org/W2963450292","https://openalex.org/W2965923340","https://openalex.org/W3048801037","https://openalex.org/W3123788783","https://openalex.org/W3137922125","https://openalex.org/W3154145591","https://openalex.org/W3200074560","https://openalex.org/W3215687324","https://openalex.org/W4251616545","https://openalex.org/W4288066793","https://openalex.org/W4292411087","https://openalex.org/W4308921953","https://openalex.org/W4386295323"],"related_works":["https://openalex.org/W4384826939","https://openalex.org/W1992148254","https://openalex.org/W3144857878","https://openalex.org/W2143878303","https://openalex.org/W3021970279","https://openalex.org/W2055245189","https://openalex.org/W2355852853","https://openalex.org/W2089510703","https://openalex.org/W3146909488","https://openalex.org/W4297902595"],"abstract_inverted_index":{"Abstract":[0],"We":[1,50,72,117,165],"investigate":[2],"a":[3,52,103,121,167],"new":[4],"family":[5],"of":[6,29,43,112,124,143,150,153,180],"distributionally":[7,128],"robust":[8,129],"optimization":[9,20,115],"problem":[10],"under":[11,183],"marginal":[12,35,184],"and":[13,37,68,97,161,185,192],"copula":[14,39,186],"ambiguity":[15,27,156,187],"with":[16,127],"applications":[17],"to":[18,55,76,139,170],"portfolio":[19,30,163],"problems.":[21],"The":[22],"proposed":[23,58,145],"model":[24],"considers":[25],"the":[26,34,44,57,62,78,109,113,141,144,148,151,154,159,172,177,181,189],"set":[28,123],"returns":[31],"in":[32,60],"which":[33,61,175],"distributions":[36],"their":[38,47],"are":[40],"close\u2014in":[41],"terms":[42],"Wasserstein":[45,155],"distance\u2014to":[46],"nominal":[48],"counterparts.":[49],"develop":[51],"cutting-surface":[53],"method":[54,101],"solve":[56,77],"problem,":[59],"distribution":[63],"separation":[64],"subproblem":[65],"is":[66],"nonconvex":[67],"includes":[69],"bilinear":[70,79,114],"terms.":[71],"propose":[73],"three":[74],"approaches":[75],"formulation,":[80],"namely":[81],"(1)":[82],"linear":[83,91],"relaxation":[84],"via":[85,94,102],"McCormick":[86],"inequalities,":[87,96],"(2)":[88],"exact":[89],"mixed-integer":[90],"program":[92],"reformulation":[93],"disjunctive":[95],"(3)":[98],"inner":[99],"approximation":[100],"novel":[104],"iterative":[105],"procedure":[106],"that":[107],"exploits":[108],"structural":[110],"properties":[111],"problem.":[116],"further":[118],"carry":[119],"out":[120],"comprehensive":[122],"computational":[125],"experiments":[126],"portfolios":[130,182],"featuring":[131],"Conditional":[132],"Value-at-Risk":[133],"(CVaR)":[134],"measures.":[135],"These":[136],"tests":[137],"aim":[138],"compare":[140],"accuracy":[142],"algorithms,":[146],"analyze":[147],"impact":[149],"radius":[152],"ball":[157],"on":[158],"portfolio,":[160],"assess":[162],"performance.":[164],"use":[166],"rolling-horizon":[168],"approach":[169],"conduct":[171],"out-of-sample":[173],"tests,":[174],"show":[176],"superior":[178],"performance":[179],"over":[188],"equally":[190],"weighted":[191],"ambiguity-free":[193],"Mean-CVaR":[194],"benchmark":[195],"portfolios.":[196]},"counts_by_year":[{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":2}],"updated_date":"2026-03-10T16:38:18.471706","created_date":"2025-10-10T00:00:00"}
