{"id":"https://openalex.org/W2946340222","doi":"https://doi.org/10.1007/s10287-020-00367-4","title":"Asset allocation under predictability and parameter uncertainty using LASSO","display_name":"Asset allocation under predictability and parameter uncertainty using LASSO","publication_year":2020,"publication_date":"2020-06-01","ids":{"openalex":"https://openalex.org/W2946340222","doi":"https://doi.org/10.1007/s10287-020-00367-4","mag":"2946340222"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-020-00367-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-020-00367-4","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://link.springer.com/article/10.1007/s10287-020-00367-4","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5038786338","display_name":"Andrea Rigamonti","orcid":"https://orcid.org/0000-0003-3327-019X"},"institutions":[{"id":"https://openalex.org/I171543936","display_name":"Free University of Bozen-Bolzano","ror":"https://ror.org/012ajp527","country_code":"IT","type":"education","lineage":["https://openalex.org/I171543936"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Andrea Rigamonti","raw_affiliation_strings":["Free University of Bozen-Bolzano, Universit\u00e4tsplatz 1, 39100, Bolzano, Italy"],"raw_orcid":"https://orcid.org/0000-0003-3327-019X","affiliations":[{"raw_affiliation_string":"Free University of Bozen-Bolzano, Universit\u00e4tsplatz 1, 39100, Bolzano, Italy","institution_ids":["https://openalex.org/I171543936"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028752133","display_name":"Alex Weissensteiner","orcid":"https://orcid.org/0000-0002-8600-0516"},"institutions":[{"id":"https://openalex.org/I171543936","display_name":"Free University of Bozen-Bolzano","ror":"https://ror.org/012ajp527","country_code":"IT","type":"education","lineage":["https://openalex.org/I171543936"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Alex Weissensteiner","raw_affiliation_strings":["Free University of Bozen-Bolzano, Universit\u00e4tsplatz 1, 39100, Bolzano, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Free University of Bozen-Bolzano, Universit\u00e4tsplatz 1, 39100, Bolzano, Italy","institution_ids":["https://openalex.org/I171543936"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5038786338"],"corresponding_institution_ids":["https://openalex.org/I171543936"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.2387,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.56910072,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"17","issue":"2","first_page":"179","last_page":"201"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9995999932289124,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9995999932289124,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9983000159263611,"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/T11918","display_name":"Forecasting Techniques and Applications","score":0.9980000257492065,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/predictability","display_name":"Predictability","score":0.8784158229827881},{"id":"https://openalex.org/keywords/lasso","display_name":"Lasso (programming language)","score":0.6703832149505615},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5677514672279358},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.534027099609375},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5203618407249451},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.5028666853904724},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4922694265842438},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.47516530752182007},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4568844437599182},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.43379759788513184},{"id":"https://openalex.org/keywords/regression","display_name":"Regression","score":0.4257141351699829},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3755798935890198},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3061983585357666},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22026383876800537},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10431993007659912}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8784158229827881},{"id":"https://openalex.org/C37616216","wikidata":"https://www.wikidata.org/wiki/Q3218363","display_name":"Lasso (programming language)","level":2,"score":0.6703832149505615},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5677514672279358},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.534027099609375},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5203618407249451},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.5028666853904724},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4922694265842438},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.47516530752182007},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4568844437599182},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.43379759788513184},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.4257141351699829},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3755798935890198},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3061983585357666},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22026383876800537},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10431993007659912},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-020-00367-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10287-020-00367-4","pdf_url":null,"source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"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":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:comgts:v:17:y:2020:i:2:d:10.1007_s10287-020-00367-4","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-020-00367-4","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"},{"id":"pmh:oai:alma.39UBZ_INST:11256444170001241","is_oa":true,"landing_page_url":"https://link.springer.com/article/10.1007/s10287-020-00367-4","pdf_url":null,"source":{"id":"https://openalex.org/S4210197018","display_name":"View","issn_l":"2688-268X","issn":["2688-268X","2688-3988"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"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":"pmh:oai:alma.39UBZ_INST:11256444170001241","is_oa":true,"landing_page_url":"https://link.springer.com/article/10.1007/s10287-020-00367-4","pdf_url":null,"source":{"id":"https://openalex.org/S4210197018","display_name":"View","issn_l":"2688-268X","issn":["2688-268X","2688-3988"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"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"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1532430735","https://openalex.org/W1973491767","https://openalex.org/W2083536977","https://openalex.org/W2099233100","https://openalex.org/W2103782370","https://openalex.org/W2105630053","https://openalex.org/W2118065067","https://openalex.org/W2127000676","https://openalex.org/W2144570112","https://openalex.org/W2163969674","https://openalex.org/W2164883547","https://openalex.org/W2489986862","https://openalex.org/W2744672773","https://openalex.org/W2778868737","https://openalex.org/W2784359816","https://openalex.org/W3121206578","https://openalex.org/W3121324299","https://openalex.org/W3122085781","https://openalex.org/W3123029587","https://openalex.org/W3124288898","https://openalex.org/W3124438330","https://openalex.org/W3124539603","https://openalex.org/W3124550086","https://openalex.org/W3125177102","https://openalex.org/W3125545638"],"related_works":["https://openalex.org/W2726467123","https://openalex.org/W2064726690","https://openalex.org/W4252678288","https://openalex.org/W4254065731","https://openalex.org/W1607297154","https://openalex.org/W4210820789","https://openalex.org/W1861863552","https://openalex.org/W1511426354","https://openalex.org/W3097398805","https://openalex.org/W2332156480"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1}],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-10-10T00:00:00"}