{"id":"https://openalex.org/W2025824195","doi":"https://doi.org/10.1007/s11424-008-9132-8","title":"Optimal Investment with Noise Trading Risk","display_name":"Optimal Investment with Noise Trading Risk","publication_year":2008,"publication_date":"2008-11-05","ids":{"openalex":"https://openalex.org/W2025824195","doi":"https://doi.org/10.1007/s11424-008-9132-8","mag":"2025824195"},"language":"en","primary_location":{"id":"doi:10.1007/s11424-008-9132-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11424-008-9132-8","pdf_url":null,"source":{"id":"https://openalex.org/S45848134","display_name":"Journal of Systems Science and Complexity","issn_l":"1009-6124","issn":["1009-6124","1559-7067"],"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 Systems Science and Complexity","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/A5066539013","display_name":"Yunhui Xu","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Yunhui XU","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 3G1, Canada","Lingnan College, Sun Yat-Sen University, Guangzhou, 510275, China","Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada","Lingnan College, Sun Yat-Sen University, Guangzhou, China"],"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 3G1, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Lingnan College, Sun Yat-Sen University, Guangzhou, 510275, China","institution_ids":[]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Lingnan College, Sun Yat-Sen University, Guangzhou, China","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027224656","display_name":"Zhongfei Li","orcid":"https://orcid.org/0000-0002-4922-1504"},"institutions":[{"id":"https://openalex.org/I157773358","display_name":"Sun Yat-sen University","ror":"https://ror.org/0064kty71","country_code":"CN","type":"education","lineage":["https://openalex.org/I157773358"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhongfei LI","raw_affiliation_strings":["Lingnan College, Sun Yat-Sen University, Guangzhou, 510275, China","[Lingnan College, Sun Yat-Sen University, Guangzhou, China]"],"affiliations":[{"raw_affiliation_string":"Lingnan College, Sun Yat-Sen University, Guangzhou, 510275, China","institution_ids":[]},{"raw_affiliation_string":"[Lingnan College, Sun Yat-Sen University, Guangzhou, China]","institution_ids":["https://openalex.org/I157773358"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103209215","display_name":"Ken Seng Tan","orcid":"https://orcid.org/0000-0002-2068-7829"},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]},{"id":"https://openalex.org/I137867983","display_name":"Central University of Finance and Economics","ror":"https://ror.org/008e3hf02","country_code":"CN","type":"education","lineage":["https://openalex.org/I137867983"]}],"countries":["CA","CN"],"is_corresponding":false,"raw_author_name":"Ken Seng TAN","raw_affiliation_strings":["China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, 100081, China","Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 3G1, Canada","China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China","Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada"],"affiliations":[{"raw_affiliation_string":"China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, 100081, China","institution_ids":["https://openalex.org/I137867983"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 3G1, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China","institution_ids":["https://openalex.org/I137867983"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5066539013"],"corresponding_institution_ids":["https://openalex.org/I151746483"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.17829755,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"21","issue":"4","first_page":"519","last_page":"526"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998000264167786,"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":0.9998000264167786,"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":0.9991999864578247,"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/T10632","display_name":"Housing Market and Economics","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/dividend","display_name":"Dividend","score":0.5825409293174744},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5446147918701172},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.49865055084228516},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4858686327934265},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4763641357421875},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.46006643772125244},{"id":"https://openalex.org/keywords/bond","display_name":"Bond","score":0.45408087968826294},{"id":"https://openalex.org/keywords/security-market-line","display_name":"Security market line","score":0.42880815267562866},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.42051011323928833},{"id":"https://openalex.org/keywords/risk-premium","display_name":"Risk premium","score":0.41920533776283264},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"Risk aversion (psychology)","score":0.4154200851917267},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.4118228554725647},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4015205204486847},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.35099905729293823},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.3414499759674072},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2888975739479065},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.14426958560943604},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1238267719745636},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.11296159029006958},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.07463344931602478}],"concepts":[{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.5825409293174744},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5446147918701172},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.49865055084228516},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4858686327934265},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4763641357421875},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.46006643772125244},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.45408087968826294},{"id":"https://openalex.org/C140577478","wikidata":"https://www.wikidata.org/wiki/Q848344","display_name":"Security market line","level":4,"score":0.42880815267562866},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.42051011323928833},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.41920533776283264},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.4154200851917267},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.4118228554725647},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4015205204486847},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.35099905729293823},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.3414499759674072},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2888975739479065},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.14426958560943604},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1238267719745636},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.11296159029006958},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.07463344931602478},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s11424-008-9132-8","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11424-008-9132-8","pdf_url":null,"source":{"id":"https://openalex.org/S45848134","display_name":"Journal of Systems Science and Complexity","issn_l":"1009-6124","issn":["1009-6124","1559-7067"],"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 Systems Science and Complexity","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.466.7196","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.466.7196","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4699999988079071,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1978185163","https://openalex.org/W2027638099","https://openalex.org/W2038621549","https://openalex.org/W2045647305","https://openalex.org/W2050031929","https://openalex.org/W2050643653","https://openalex.org/W2054640142","https://openalex.org/W2060591526","https://openalex.org/W2081078325","https://openalex.org/W2096332174","https://openalex.org/W2112492110","https://openalex.org/W2124135196","https://openalex.org/W2489977932","https://openalex.org/W3097267636","https://openalex.org/W3121378067","https://openalex.org/W3121900378","https://openalex.org/W3122264531","https://openalex.org/W3122275628","https://openalex.org/W3123029587","https://openalex.org/W3124900439","https://openalex.org/W4229815463","https://openalex.org/W4253239620","https://openalex.org/W4255461888","https://openalex.org/W4285719527","https://openalex.org/W4293857397","https://openalex.org/W4298304389","https://openalex.org/W4300999125"],"related_works":["https://openalex.org/W2510460543","https://openalex.org/W3122567706","https://openalex.org/W3121982332","https://openalex.org/W1514918134","https://openalex.org/W2936127455","https://openalex.org/W2147235923","https://openalex.org/W4200151087","https://openalex.org/W3154480698","https://openalex.org/W3214343406","https://openalex.org/W2482946008"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}
