{"id":"https://openalex.org/W3095402923","doi":"https://doi.org/10.1016/j.ejor.2020.10.043","title":"Large portfolio losses in a turbulent market","display_name":"Large portfolio losses in a turbulent market","publication_year":2020,"publication_date":"2020-11-03","ids":{"openalex":"https://openalex.org/W3095402923","doi":"https://doi.org/10.1016/j.ejor.2020.10.043","mag":"3095402923"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2020.10.043","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2020.10.043","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":null,"license_id":null,"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":"green","oa_url":"http://hdl.handle.net/1959.4/unsworks_76465","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5012576218","display_name":"Qihe Tang","orcid":"https://orcid.org/0000-0002-5985-8939"},"institutions":[{"id":"https://openalex.org/I31746571","display_name":"UNSW Sydney","ror":"https://ror.org/03r8z3t63","country_code":"AU","type":"education","lineage":["https://openalex.org/I31746571"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Qihe Tang","raw_affiliation_strings":["School of Risk and Actuarial Studies, UNSW Business School, UNSW Sydney, Sydney, NSW 2052, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Risk and Actuarial Studies, UNSW Business School, UNSW Sydney, Sydney, NSW 2052, Australia","institution_ids":["https://openalex.org/I31746571"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027025018","display_name":"Zhiwei Tong","orcid":"https://orcid.org/0000-0002-2620-4760"},"institutions":[{"id":"https://openalex.org/I31746571","display_name":"UNSW Sydney","ror":"https://ror.org/03r8z3t63","country_code":"AU","type":"education","lineage":["https://openalex.org/I31746571"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Zhiwei Tong","raw_affiliation_strings":["School of Risk and Actuarial Studies, UNSW Business School, UNSW Sydney, Sydney, NSW 2052, Australia"],"raw_orcid":"https://orcid.org/0000-0002-2620-4760","affiliations":[{"raw_affiliation_string":"School of Risk and Actuarial Studies, UNSW Business School, UNSW Sydney, Sydney, NSW 2052, Australia","institution_ids":["https://openalex.org/I31746571"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100397632","display_name":"Yang Yang","orcid":"https://orcid.org/0000-0002-5679-7974"},"institutions":[{"id":"https://openalex.org/I206777745","display_name":"Nanjing Audit University","ror":"https://ror.org/04zj2bd87","country_code":"CN","type":"education","lineage":["https://openalex.org/I206777745"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yang Yang","raw_affiliation_strings":["School of Statistics and Mathematics, Nanjing Audit University, Nanjing, Jiangsu 211815, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics and Mathematics, Nanjing Audit University, Nanjing, Jiangsu 211815, China","institution_ids":["https://openalex.org/I206777745"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5027025018"],"corresponding_institution_ids":["https://openalex.org/I31746571"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":1.4323,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.8444708,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"292","issue":"2","first_page":"755","last_page":"769"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"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":0.9970999956130981,"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/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9915000200271606,"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/portfolio","display_name":"Portfolio","score":0.7271735668182373},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5806044936180115},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5308011174201965},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.49536049365997314},{"id":"https://openalex.org/keywords/market-portfolio","display_name":"Market portfolio","score":0.468193382024765},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.46484631299972534},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.45091113448143005},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.44945281744003296},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.44212788343429565},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.44048547744750977},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3578144609928131},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2203986644744873}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7271735668182373},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5806044936180115},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5308011174201965},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.49536049365997314},{"id":"https://openalex.org/C2777302077","wikidata":"https://www.wikidata.org/wiki/Q1321921","display_name":"Market portfolio","level":3,"score":0.468193382024765},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.46484631299972534},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.45091113448143005},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.44945281744003296},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44212788343429565},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.44048547744750977},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3578144609928131},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2203986644744873},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.ejor.2020.10.043","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2020.10.043","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":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769","is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0377221720309346","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:unsworks.library.unsw.edu.au:1959.4/unsworks_76465","is_oa":true,"landing_page_url":"http://hdl.handle.net/1959.4/unsworks_76465","pdf_url":null,"source":{"id":"https://openalex.org/S4306401737","display_name":"UNSWorks (University of New South Wales, Sydney, Australia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I40053085","host_organization_name":"Australian Defence Force Academy","host_organization_lineage":["https://openalex.org/I40053085"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"European Journal of Operational Research, 292, 2, 755-769","raw_type":"http://purl.org/coar/resource_type/c_6501"}],"best_oa_location":{"id":"pmh:oai:unsworks.library.unsw.edu.au:1959.4/unsworks_76465","is_oa":true,"landing_page_url":"http://hdl.handle.net/1959.4/unsworks_76465","pdf_url":null,"source":{"id":"https://openalex.org/S4306401737","display_name":"UNSWorks (University of New South Wales, Sydney, Australia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I40053085","host_organization_name":"Australian Defence Force Academy","host_organization_lineage":["https://openalex.org/I40053085"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"European Journal of Operational Research, 292, 2, 755-769","raw_type":"http://purl.org/coar/resource_type/c_6501"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2355452859","display_name":null,"funder_award_id":"BK20201396","funder_id":"https://openalex.org/F4320322769","funder_display_name":"Natural Science Foundation of Jiangsu Province"}],"funders":[{"id":"https://openalex.org/F4320315885","display_name":"Australian Government","ror":"https://ror.org/0314h5y94"},{"id":"https://openalex.org/F4320320965","display_name":"University of New South Wales","ror":"https://ror.org/03r8z3t63"},{"id":"https://openalex.org/F4320321106","display_name":"Ministry of Education of the People's Republic of China","ror":"https://ror.org/01mv9t934"},{"id":"https://openalex.org/F4320321605","display_name":"Government of Jiangsu Province","ror":"https://ror.org/004svx814"},{"id":"https://openalex.org/F4320322769","display_name":"Natural Science Foundation of Jiangsu Province","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320334704","display_name":"Australian Research Council","ror":"https://ror.org/05mmh0f86"},{"id":"https://openalex.org/F4320335982","display_name":"Humanities and Social Science Fund of Ministry of Education of China","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":70,"referenced_works":["https://openalex.org/W150817069","https://openalex.org/W1498464051","https://openalex.org/W1519835236","https://openalex.org/W1542184596","https://openalex.org/W1557955808","https://openalex.org/W1563605022","https://openalex.org/W1576772981","https://openalex.org/W1677890546","https://openalex.org/W1969248194","https://openalex.org/W1977650076","https://openalex.org/W1980620433","https://openalex.org/W1982030118","https://openalex.org/W1993676953","https://openalex.org/W1994485761","https://openalex.org/W2027632322","https://openalex.org/W2031817855","https://openalex.org/W2040415980","https://openalex.org/W2052424737","https://openalex.org/W2064163886","https://openalex.org/W2072607993","https://openalex.org/W2080834695","https://openalex.org/W2082317778","https://openalex.org/W2086597188","https://openalex.org/W2099233100","https://openalex.org/W2105973145","https://openalex.org/W2113997143","https://openalex.org/W2119057465","https://openalex.org/W2145307081","https://openalex.org/W2147548387","https://openalex.org/W2153906005","https://openalex.org/W2155928249","https://openalex.org/W2158224635","https://openalex.org/W2160797051","https://openalex.org/W2160994917","https://openalex.org/W2163504005","https://openalex.org/W2170127976","https://openalex.org/W2185693359","https://openalex.org/W2340498839","https://openalex.org/W2536555724","https://openalex.org/W2889914614","https://openalex.org/W2900506627","https://openalex.org/W2910620545","https://openalex.org/W2963856389","https://openalex.org/W3084211659","https://openalex.org/W3102149128","https://openalex.org/W3102746786","https://openalex.org/W3105498196","https://openalex.org/W3105585061","https://openalex.org/W3121275215","https://openalex.org/W3121488875","https://openalex.org/W3121958211","https://openalex.org/W3122318214","https://openalex.org/W3123223673","https://openalex.org/W3123383295","https://openalex.org/W3124423280","https://openalex.org/W3124954191","https://openalex.org/W3125011771","https://openalex.org/W3125092719","https://openalex.org/W3125167298","https://openalex.org/W3125459499","https://openalex.org/W4230327943","https://openalex.org/W4243316492","https://openalex.org/W6606137118","https://openalex.org/W6631276297","https://openalex.org/W6634524590","https://openalex.org/W6675975338","https://openalex.org/W6683510214","https://openalex.org/W6729254527","https://openalex.org/W6737177563","https://openalex.org/W6783059430"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W2955987922","https://openalex.org/W4289521043","https://openalex.org/W2083072373","https://openalex.org/W4212928424","https://openalex.org/W3017259140","https://openalex.org/W2499996265","https://openalex.org/W202855484","https://openalex.org/W3046948291","https://openalex.org/W2557141331"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}