{"id":"https://openalex.org/W7164526558","doi":"https://doi.org/10.1007/s12351-026-01071-y","title":"Mean-CVaR portfolio optimization with decision dependent distribution of losses under fixed dependence structure","display_name":"Mean-CVaR portfolio optimization with decision dependent distribution of losses under fixed dependence structure","publication_year":2026,"publication_date":"2026-06-12","ids":{"openalex":"https://openalex.org/W7164526558","doi":"https://doi.org/10.1007/s12351-026-01071-y"},"language":"en","primary_location":{"id":"doi:10.1007/s12351-026-01071-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s12351-026-01071-y","pdf_url":null,"source":{"id":"https://openalex.org/S140563256","display_name":"Operational Research","issn_l":"1109-2858","issn":["1109-2858","1866-1505"],"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":"Operational 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/A5129267138","display_name":"Erik Ko\u010dandrle","orcid":null},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Erik Ko\u010dandrle","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, Prague, 186 75, Czechia"],"raw_orcid":"https://orcid.org/0009-0002-0416-0573","affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, Prague, 186 75, Czechia","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5043473436","display_name":"Milo\u0161 Kopa","orcid":"https://orcid.org/0000-0002-9438-4484"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Milo\u0161 Kopa","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, Prague, 186 75, Czechia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, Prague, 186 75, Czechia","institution_ids":["https://openalex.org/I21250087"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5129267138"],"corresponding_institution_ids":["https://openalex.org/I21250087"],"apc_list":{"value":3190,"currency":"USD","value_usd":3190},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.62132327,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"26","issue":"3","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9656999707221985,"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":0.9656999707221985,"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.006599999964237213,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.005100000184029341,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/randomness","display_name":"Randomness","score":0.6807000041007996},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6557999849319458},{"id":"https://openalex.org/keywords/distortion","display_name":"Distortion (music)","score":0.5447999835014343},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5091999769210815},{"id":"https://openalex.org/keywords/distribution","display_name":"Distribution (mathematics)","score":0.43149998784065247},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.40139999985694885},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.3962000012397766},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.3837999999523163},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.38190001249313354}],"concepts":[{"id":"https://openalex.org/C125112378","wikidata":"https://www.wikidata.org/wiki/Q176640","display_name":"Randomness","level":2,"score":0.6807000041007996},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6557999849319458},{"id":"https://openalex.org/C126780896","wikidata":"https://www.wikidata.org/wiki/Q899871","display_name":"Distortion (music)","level":4,"score":0.5447999835014343},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5091999769210815},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4699999988079071},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4366999864578247},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.43149998784065247},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4049000144004822},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.40139999985694885},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.3962000012397766},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.3837999999523163},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.38190001249313354},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.37459999322891235},{"id":"https://openalex.org/C139502532","wikidata":"https://www.wikidata.org/wiki/Q1122090","display_name":"Computational intelligence","level":2,"score":0.374099999666214},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.366100013256073},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.3422999978065491},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.3393000066280365},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.3391000032424927},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.3203999996185303},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.3192000091075897},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.31459999084472656},{"id":"https://openalex.org/C115988155","wikidata":"https://www.wikidata.org/wiki/Q3262192","display_name":"Decision problem","level":2,"score":0.30799999833106995},{"id":"https://openalex.org/C150325174","wikidata":"https://www.wikidata.org/wiki/Q4335500","display_name":"Optimal decision","level":3,"score":0.26980000734329224},{"id":"https://openalex.org/C2781089630","wikidata":"https://www.wikidata.org/wiki/Q21856745","display_name":"Realization (probability)","level":2,"score":0.26919999718666077},{"id":"https://openalex.org/C127491075","wikidata":"https://www.wikidata.org/wiki/Q7617825","display_name":"Stochastic modelling","level":2,"score":0.26159998774528503},{"id":"https://openalex.org/C102094743","wikidata":"https://www.wikidata.org/wiki/Q133871","display_name":"Normal distribution","level":2,"score":0.2563000023365021},{"id":"https://openalex.org/C59594135","wikidata":"https://www.wikidata.org/wiki/Q5249242","display_name":"Decision model","level":2,"score":0.2529999911785126}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s12351-026-01071-y","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s12351-026-01071-y","pdf_url":null,"source":{"id":"https://openalex.org/S140563256","display_name":"Operational Research","issn_l":"1109-2858","issn":["1109-2858","1866-1505"],"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":"Operational Research","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7485317124","display_name":null,"funder_award_id":"26-21034S","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1106997938","https://openalex.org/W1647779468","https://openalex.org/W1989263908","https://openalex.org/W2002054890","https://openalex.org/W2019291268","https://openalex.org/W2057383708","https://openalex.org/W2062921651","https://openalex.org/W2132443902","https://openalex.org/W3014310786","https://openalex.org/W3124407081","https://openalex.org/W3131592382","https://openalex.org/W4286267871","https://openalex.org/W4403655650","https://openalex.org/W4407360709","https://openalex.org/W4410395635","https://openalex.org/W4411718890","https://openalex.org/W4416046852"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2026-06-13T00:00:00"}