{"id":"https://openalex.org/W4400010514","doi":"https://doi.org/10.1007/s11590-024-02124-x","title":"Benchmark-based deviation and drawdown measures in portfolio optimization","display_name":"Benchmark-based deviation and drawdown measures in portfolio optimization","publication_year":2024,"publication_date":"2024-06-25","ids":{"openalex":"https://openalex.org/W4400010514","doi":"https://doi.org/10.1007/s11590-024-02124-x"},"language":"en","primary_location":{"id":"doi:10.1007/s11590-024-02124-x","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11590-024-02124-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11590-024-02124-x.pdf","source":{"id":"https://openalex.org/S12647387","display_name":"Optimization Letters","issn_l":"1862-4472","issn":["1862-4472","1862-4480"],"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":"Optimization Letters","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/s11590-024-02124-x.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041119402","display_name":"Michael Zabarankin","orcid":"https://orcid.org/0000-0001-5959-9335"},"institutions":[{"id":"https://openalex.org/I108468826","display_name":"Stevens Institute of Technology","ror":"https://ror.org/02z43xh36","country_code":"US","type":"education","lineage":["https://openalex.org/I108468826"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Michael Zabarankin","raw_affiliation_strings":["Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ, 07030, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ, 07030, USA","institution_ids":["https://openalex.org/I108468826"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5090672123","display_name":"Bogdan Grechuk","orcid":"https://orcid.org/0000-0002-2624-5765"},"institutions":[{"id":"https://openalex.org/I153648349","display_name":"University of Leicester","ror":"https://ror.org/04h699437","country_code":"GB","type":"education","lineage":["https://openalex.org/I153648349"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Bogdan Grechuk","raw_affiliation_strings":["School of Computing and Mathematical Sciences, University of Leicester, Leicester, LE1 7RH, UK"],"affiliations":[{"raw_affiliation_string":"School of Computing and Mathematical Sciences, University of Leicester, Leicester, LE1 7RH, UK","institution_ids":["https://openalex.org/I153648349"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5040499037","display_name":"Dawei Hao","orcid":null},"institutions":[{"id":"https://openalex.org/I153648349","display_name":"University of Leicester","ror":"https://ror.org/04h699437","country_code":"GB","type":"education","lineage":["https://openalex.org/I153648349"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Dawei Hao","raw_affiliation_strings":["School of Computing and Mathematical Sciences, University of Leicester, Leicester, LE1 7RH, UK"],"affiliations":[{"raw_affiliation_string":"School of Computing and Mathematical Sciences, University of Leicester, Leicester, LE1 7RH, UK","institution_ids":["https://openalex.org/I153648349"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5041119402"],"corresponding_institution_ids":["https://openalex.org/I108468826"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.4853,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.66073642,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"18","issue":"7","first_page":"1561","last_page":"1578"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998000264167786,"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":0.9998000264167786,"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":0.9919000267982483,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9833999872207642,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.7121201753616333},{"id":"https://openalex.org/keywords/computational-intelligence","display_name":"Computational intelligence","score":0.6651202440261841},{"id":"https://openalex.org/keywords/drawdown","display_name":"Drawdown (hydrology)","score":0.6311270594596863},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5956535935401917},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5836179852485657},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5134957432746887},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4283658266067505},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3320971727371216},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3212948739528656},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.26704251766204834},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.25505200028419495},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17870885133743286},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.16112354397773743}],"concepts":[{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.7121201753616333},{"id":"https://openalex.org/C139502532","wikidata":"https://www.wikidata.org/wiki/Q1122090","display_name":"Computational intelligence","level":2,"score":0.6651202440261841},{"id":"https://openalex.org/C2777038186","wikidata":"https://www.wikidata.org/wiki/Q5306028","display_name":"Drawdown (hydrology)","level":4,"score":0.6311270594596863},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5956535935401917},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5836179852485657},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5134957432746887},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4283658266067505},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3320971727371216},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3212948739528656},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.26704251766204834},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.25505200028419495},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17870885133743286},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.16112354397773743},{"id":"https://openalex.org/C76177295","wikidata":"https://www.wikidata.org/wiki/Q161598","display_name":"Groundwater","level":2,"score":0.0},{"id":"https://openalex.org/C75622301","wikidata":"https://www.wikidata.org/wiki/Q208791","display_name":"Aquifer","level":3,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C187320778","wikidata":"https://www.wikidata.org/wiki/Q1349130","display_name":"Geotechnical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s11590-024-02124-x","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11590-024-02124-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11590-024-02124-x.pdf","source":{"id":"https://openalex.org/S12647387","display_name":"Optimization Letters","issn_l":"1862-4472","issn":["1862-4472","1862-4480"],"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":"Optimization Letters","raw_type":"journal-article"},{"id":"pmh:oai:figshare.com:article/26164420","is_oa":true,"landing_page_url":"https://figshare.com/articles/journal_contribution/Benchmark-based_deviation_and_drawdown_measures_in_portfolio_optimization/26164420","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.1007/s11590-024-02124-x","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s11590-024-02124-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s11590-024-02124-x.pdf","source":{"id":"https://openalex.org/S12647387","display_name":"Optimization Letters","issn_l":"1862-4472","issn":["1862-4472","1862-4480"],"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":"Optimization Letters","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4400010514.pdf"},"referenced_works_count":28,"referenced_works":["https://openalex.org/W1825854501","https://openalex.org/W1831659830","https://openalex.org/W1969550106","https://openalex.org/W2019291268","https://openalex.org/W2038684391","https://openalex.org/W2041660482","https://openalex.org/W2046913100","https://openalex.org/W2095546553","https://openalex.org/W2102343992","https://openalex.org/W2111302854","https://openalex.org/W2122128549","https://openalex.org/W2238030762","https://openalex.org/W2542518685","https://openalex.org/W3030377661","https://openalex.org/W3103347783","https://openalex.org/W3104892856","https://openalex.org/W3121150347","https://openalex.org/W3121290254","https://openalex.org/W3122167364","https://openalex.org/W3122960119","https://openalex.org/W3123181609","https://openalex.org/W3123216261","https://openalex.org/W3123675609","https://openalex.org/W3123700708","https://openalex.org/W3123875175","https://openalex.org/W3124396432","https://openalex.org/W4248704747","https://openalex.org/W6815561245"],"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/W4206877017","https://openalex.org/W4225528185","https://openalex.org/W4327779378","https://openalex.org/W2795635811","https://openalex.org/W2221832056"],"abstract_inverted_index":{"Abstract":[0],"Understanding":[1],"and":[2,21,39,80,96,110,122,130,141],"modeling":[3],"of":[4,15,27,36,68,70,86,88,118,137,143],"agent\u2019s":[5],"risk/reward":[6],"preferences":[7],"is":[8,30],"a":[9,34,42,46,62,119],"central":[10],"problem":[11],"in":[12,24,116,139],"various":[13],"applications":[14],"risk":[16],"management":[17],"including":[18],"investment":[19],"science":[20],"portfolio":[22,100],"theory":[23],"particular.":[25],"One":[26],"the":[28,66,146],"approaches":[29],"to":[31,40,44,107],"axiomatically":[32],"define":[33],"set":[35,51],"performance":[37],"measures":[38,82,104],"use":[41],"benchmark":[43,63,121],"identify":[45],"particular":[47],"measure":[48],"from":[49],"that":[50,83],"by":[52],"either":[53],"inverse":[54],"optimization":[55],"or":[56],"functional":[57],"dominance.":[58],"For":[59,93],"example,":[60],"such":[61,103],"could":[64],"be":[65],"rate":[67],"return":[69,87,138],"an":[71],"existing":[72],"attractive":[73],"financial":[74,90],"instrument.":[75],"This":[76],"work":[77],"introduces":[78],"deviation":[79],"drawdown":[81],"incorporate":[84],"rates":[85,136],"indicated":[89],"instruments":[91],"(benchmarks).":[92],"discrete":[94,97],"distributions":[95],"sample":[98,140],"paths,":[99],"problems":[101],"with":[102],"are":[105,148],"reduced":[106],"linear":[108],"programs":[109],"solved":[111],"based":[112],"on":[113],"historical":[114],"data":[115],"cases":[117],"single":[120],"three":[123],"benchmarks":[124,132],"used":[125],"simultaneously.":[126],"The":[127],"optimal":[128],"portfolios":[129],"corresponding":[131],"have":[133],"similar":[134],"expected/cumulative":[135],"out":[142],"sample,":[144],"but":[145],"former":[147],"considerably":[149],"less":[150],"volatile.":[151]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}