{"id":"https://openalex.org/W7129329623","doi":"https://doi.org/10.1016/j.ejor.2026.02.020","title":"Network portfolio optimization with dynamic lower bounds on asset weights","display_name":"Network portfolio optimization with dynamic lower bounds on asset weights","publication_year":2026,"publication_date":"2026-02-17","ids":{"openalex":"https://openalex.org/W7129329623","doi":"https://doi.org/10.1016/j.ejor.2026.02.020"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2026.02.020","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2026.02.020","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1016/j.ejor.2026.02.020","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5126247588","display_name":"Maciej Rysz","orcid":null},"institutions":[{"id":"https://openalex.org/I83328450","display_name":"Miami University","ror":"https://ror.org/05nbqxr67","country_code":"US","type":"education","lineage":["https://openalex.org/I83328450"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Maciej Rysz","raw_affiliation_strings":["Department of Information Systems & Analytics, Miami University, 800 E. High St., Oxford, 45056, OH, USA"],"raw_orcid":"https://orcid.org/0000-0003-2667-0398","affiliations":[{"raw_affiliation_string":"Department of Information Systems & Analytics, Miami University, 800 E. High St., Oxford, 45056, OH, USA","institution_ids":["https://openalex.org/I83328450"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5126247588"],"corresponding_institution_ids":["https://openalex.org/I83328450"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":{"value":3290,"currency":"USD","value_usd":3290},"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.15604816,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"335","issue":"1","first_page":"216","last_page":"227"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9878000020980835,"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":0.9878000020980835,"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/T11612","display_name":"Stochastic Gradient Optimization Techniques","score":0.0013000000035390258,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.0012000000569969416,"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/monotonic-function","display_name":"Monotonic function","score":0.6473000049591064},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5738999843597412},{"id":"https://openalex.org/keywords/upper-and-lower-bounds","display_name":"Upper and lower bounds","score":0.5343999862670898},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.5031999945640564},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.47360000014305115},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.4668999910354614},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.3961000144481659}],"concepts":[{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.6473000049591064},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6103000044822693},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5738999843597412},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.5343999862670898},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5031999945640564},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.47360000014305115},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.47130000591278076},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.4668999910354614},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.3961000144481659},{"id":"https://openalex.org/C132525143","wikidata":"https://www.wikidata.org/wiki/Q141488","display_name":"Graph","level":2,"score":0.38749998807907104},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.3767000138759613},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.3765999972820282},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.36149999499320984},{"id":"https://openalex.org/C2778067643","wikidata":"https://www.wikidata.org/wiki/Q166507","display_name":"Interval (graph theory)","level":2,"score":0.3174000084400177},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.31630000472068787},{"id":"https://openalex.org/C88230418","wikidata":"https://www.wikidata.org/wiki/Q131476","display_name":"Graph theory","level":2,"score":0.31139999628067017},{"id":"https://openalex.org/C41045048","wikidata":"https://www.wikidata.org/wiki/Q202843","display_name":"Linear programming","level":2,"score":0.2867000102996826},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.27889999747276306}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.ejor.2026.02.020","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2026.02.020","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1016/j.ejor.2026.02.020","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.ejor.2026.02.020","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W112208192","https://openalex.org/W1490959822","https://openalex.org/W1518653692","https://openalex.org/W1575647285","https://openalex.org/W1647779468","https://openalex.org/W1980096229","https://openalex.org/W1998658038","https://openalex.org/W2008620264","https://openalex.org/W2012886081","https://openalex.org/W2019291268","https://openalex.org/W2026320281","https://openalex.org/W2037016941","https://openalex.org/W2038393175","https://openalex.org/W2045574977","https://openalex.org/W2046112356","https://openalex.org/W2046343990","https://openalex.org/W2055285298","https://openalex.org/W2056405418","https://openalex.org/W2079967994","https://openalex.org/W2080925589","https://openalex.org/W2080930498","https://openalex.org/W2105630053","https://openalex.org/W2118692559","https://openalex.org/W2123963758","https://openalex.org/W2125137443","https://openalex.org/W2127000676","https://openalex.org/W2170206178","https://openalex.org/W2344372063","https://openalex.org/W2346300375","https://openalex.org/W2460688902","https://openalex.org/W2741163753","https://openalex.org/W2922354019","https://openalex.org/W3165291164","https://openalex.org/W4306927216","https://openalex.org/W4383873556","https://openalex.org/W4386013214","https://openalex.org/W4399558784"],"related_works":[],"abstract_inverted_index":{"\u2022":[0,9,21,27,34],"Introduces":[1],"monotonically":[2,86,224],"decreasing":[3,87,113,225],"lower":[4,63,108,226,247,275],"bounds":[5,11,64,78,109,132,248,276],"on":[6,15,65,71,161,235,249,277],"asset":[7,23,66,96,162,250,278],"weight.":[8],"Lower":[10],"adjust":[12],"dynamically":[13],"based":[14,70,160],"the":[16,72,95,100,127,140,153,181,210,232,261,271],"number":[17,73],"of":[18,74,129,180,198,209,266,273],"assets":[19,84,118,199],"selected.":[20],"Models":[22],"relationships":[24],"as":[25,116],"networks.":[26],"Develops":[28],"an":[29,189],"exact":[30,190],"branch-and-bound":[31,192],"solution":[32,193,212],"algorithm.":[33],"Balances":[35],"diversification":[36],"and":[37,85,124,185,252,264],"concentration":[38,123],"in":[39,99],"portfolios.":[40],"Portfolio":[41],"optimization":[42,147,268],"models":[43,159],"have":[44],"been":[45],"widely":[46],"employed":[47],"to":[48,90,168,187,260],"allocate":[49],"resources":[50],"across":[51],"various":[52],"alternatives.":[53],"This":[54,103,257],"study":[55],"introduces":[56],"a":[57,143],"novel":[58],"approach":[59],"where":[60],"user-defined":[61],"dynamic":[62,131,274],"weights":[67,251],"are":[68,79,119,183,239],"adjusted":[69],"selected":[75,83],"assets.":[76],"These":[77],"positive":[80],"only":[81],"for":[82,112,170,195,222,241],"with":[88,106,173,244],"respect":[89],"nested":[91],"set":[92,228],"expansions":[93],"(where":[94],"is":[97,155,214],"included":[98],"smaller":[101],"set).":[102],"method":[104,213],"contrasts":[105],"static":[107],"by":[110,269],"allowing":[111],"weight":[114],"thresholds":[115],"more":[117],"included,":[120],"thus":[121],"balancing":[122],"diversification.":[125],"However,":[126],"introduction":[128],"such":[130],"can":[133],"pose":[134],"significant":[135],"computational":[136,233],"challenges,":[137],"potentially":[138],"transforming":[139],"problem":[141,154],"into":[142],"nonlinear":[144],"or":[145,204],"nonconvex":[146],"scenario.":[148],"To":[149],"address":[150],"these":[151],"issues,":[152],"reformulated":[156],"using":[157],"network":[158],"relationships,":[163],"then":[164],"leveraging":[165],"graph":[166,237],"theory":[167],"solve":[169],"optimal":[171],"sets":[172,197,203],"specific":[174],"structural":[175],"properties.":[176],"Several":[177],"theoretical":[178],"attributes":[179],"model":[182,242],"identified":[184],"used":[186],"develop":[188],"combinatorial":[191],"algorithm":[194],"finding":[196],"that":[200,215],"form":[201],"independent":[202],"cliques.":[205],"A":[206],"major":[207],"advantage":[208],"proposed":[211],"its":[216],"complexity":[217],"does":[218],"not":[219],"necessarily":[220],"increase":[221],"different":[223],"bound":[227],"functions.":[229],"Experiments":[230],"demonstrating":[231],"performance":[234],"several":[236],"types":[238],"conducted":[240],"instances":[243],"exponentially":[245],"decaying":[246],"higher-moment":[253],"coherent":[254],"risk":[255],"measures.":[256],"work":[258],"contributes":[259],"broader":[262],"understanding":[263],"application":[265],"risk-averse":[267],"exploring":[270],"effects":[272],"allocation":[279],"strategies.":[280]},"counts_by_year":[],"updated_date":"2026-06-18T08:10:14.011955","created_date":"2026-02-18T00:00:00"}