{"id":"https://openalex.org/W2736282438","doi":"https://doi.org/10.1051/ro/2017056","title":"Portfolio selection with robust estimators considering behavioral biases in a causal network","display_name":"Portfolio selection with robust estimators considering behavioral biases in a causal network","publication_year":2017,"publication_date":"2017-07-17","ids":{"openalex":"https://openalex.org/W2736282438","doi":"https://doi.org/10.1051/ro/2017056","mag":"2736282438"},"language":"en","primary_location":{"id":"doi:10.1051/ro/2017056","is_oa":false,"landing_page_url":"https://doi.org/10.1051/ro/2017056","pdf_url":null,"source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868","2804-7303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations 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/A5016347550","display_name":"Omid Momen","orcid":"https://orcid.org/0000-0001-5056-8444"},"institutions":[{"id":"https://openalex.org/I158248296","display_name":"Amirkabir University of Technology","ror":"https://ror.org/04gzbav43","country_code":"IR","type":"education","lineage":["https://openalex.org/I158248296"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Omid Momen","raw_affiliation_strings":["Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413"],"raw_orcid":"https://orcid.org/0000-0001-5056-8444","affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413","institution_ids":["https://openalex.org/I158248296"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5036206855","display_name":"Akbar Esfahanipour","orcid":"https://orcid.org/0000-0003-3222-5186"},"institutions":[{"id":"https://openalex.org/I158248296","display_name":"Amirkabir University of Technology","ror":"https://ror.org/04gzbav43","country_code":"IR","type":"education","lineage":["https://openalex.org/I158248296"]}],"countries":["IR"],"is_corresponding":true,"raw_author_name":"Akbar Esfahanipour","raw_affiliation_strings":["Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413"],"raw_orcid":"https://orcid.org/0000-0003-3222-5186","affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413","institution_ids":["https://openalex.org/I158248296"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5084024707","display_name":"Abbas Seifi","orcid":"https://orcid.org/0000-0003-2549-2200"},"institutions":[{"id":"https://openalex.org/I158248296","display_name":"Amirkabir University of Technology","ror":"https://ror.org/04gzbav43","country_code":"IR","type":"education","lineage":["https://openalex.org/I158248296"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Abbas Seifi","raw_affiliation_strings":["Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413","institution_ids":["https://openalex.org/I158248296"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5036206855"],"corresponding_institution_ids":["https://openalex.org/I158248296"],"apc_list":null,"apc_paid":null,"fwci":0.2593,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.62154212,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"53","issue":"2","first_page":"577","last_page":"591"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9970999956130981,"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":0.9970999956130981,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9936000108718872,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9914000034332275,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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":0.792637825012207},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.6688031554222107},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6105062961578369},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.5147016644477844},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.47957295179367065},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.46766507625579834},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4571925699710846},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4433257579803467},{"id":"https://openalex.org/keywords/causation","display_name":"Causation","score":0.4224909245967865},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.362041175365448},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21483713388442993},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.21173545718193054},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.21010175347328186},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.08714741468429565}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.792637825012207},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6688031554222107},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6105062961578369},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.5147016644477844},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.47957295179367065},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.46766507625579834},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4571925699710846},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4433257579803467},{"id":"https://openalex.org/C166151441","wikidata":"https://www.wikidata.org/wiki/Q4923601","display_name":"Causation","level":2,"score":0.4224909245967865},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.362041175365448},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21483713388442993},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.21173545718193054},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.21010175347328186},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.08714741468429565},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"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/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1051/ro/2017056","is_oa":false,"landing_page_url":"https://doi.org/10.1051/ro/2017056","pdf_url":null,"source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868","2804-7303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:numdam.org:RO_2019__53_2_577_0","is_oa":false,"landing_page_url":"https://www.numdam.org/articles/10.1051/ro/2017056/","pdf_url":null,"source":{"id":"https://openalex.org/S4306402264","display_name":"French digital mathematics library (Numdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I70900168","host_organization_name":"Universit\u00e9 Savoie Mont Blanc","host_organization_lineage":["https://openalex.org/I70900168"],"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":"Text"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":96,"referenced_works":["https://openalex.org/W28519790","https://openalex.org/W315644267","https://openalex.org/W330932259","https://openalex.org/W426799098","https://openalex.org/W994075034","https://openalex.org/W1524326598","https://openalex.org/W1531397017","https://openalex.org/W1551275368","https://openalex.org/W1569020402","https://openalex.org/W1579091683","https://openalex.org/W1588478279","https://openalex.org/W1598266570","https://openalex.org/W1619034014","https://openalex.org/W1647779468","https://openalex.org/W1674810554","https://openalex.org/W1791174547","https://openalex.org/W1840563492","https://openalex.org/W1842443482","https://openalex.org/W1931905523","https://openalex.org/W1969429114","https://openalex.org/W1975062332","https://openalex.org/W1981525395","https://openalex.org/W1986646649","https://openalex.org/W1988916339","https://openalex.org/W1994569563","https://openalex.org/W1997410866","https://openalex.org/W2005320723","https://openalex.org/W2005757062","https://openalex.org/W2007101833","https://openalex.org/W2017211257","https://openalex.org/W2019291268","https://openalex.org/W2027047704","https://openalex.org/W2027835928","https://openalex.org/W2040808879","https://openalex.org/W2047809005","https://openalex.org/W2056119313","https://openalex.org/W2061150355","https://openalex.org/W2061592058","https://openalex.org/W2067520707","https://openalex.org/W2068360796","https://openalex.org/W2069099760","https://openalex.org/W2071449040","https://openalex.org/W2072150612","https://openalex.org/W2079853913","https://openalex.org/W2093315002","https://openalex.org/W2093479969","https://openalex.org/W2099341654","https://openalex.org/W2109122936","https://openalex.org/W2112104318","https://openalex.org/W2117215563","https://openalex.org/W2121183216","https://openalex.org/W2124733286","https://openalex.org/W2132621139","https://openalex.org/W2133469585","https://openalex.org/W2134306794","https://openalex.org/W2134919172","https://openalex.org/W2137428051","https://openalex.org/W2138053063","https://openalex.org/W2139865581","https://openalex.org/W2140917889","https://openalex.org/W2141858721","https://openalex.org/W2159306398","https://openalex.org/W2164451532","https://openalex.org/W2165408259","https://openalex.org/W2267865451","https://openalex.org/W2302223370","https://openalex.org/W2320650730","https://openalex.org/W2498950042","https://openalex.org/W2530804296","https://openalex.org/W2604682322","https://openalex.org/W2708312723","https://openalex.org/W2913563224","https://openalex.org/W2985163073","https://openalex.org/W3011865677","https://openalex.org/W3121690653","https://openalex.org/W3122519464","https://openalex.org/W3122622866","https://openalex.org/W3123065893","https://openalex.org/W3123251186","https://openalex.org/W3123271477","https://openalex.org/W3123312015","https://openalex.org/W3123340585","https://openalex.org/W3123538377","https://openalex.org/W3123683387","https://openalex.org/W3123744188","https://openalex.org/W3123979261","https://openalex.org/W3123989516","https://openalex.org/W3124506475","https://openalex.org/W3125353710","https://openalex.org/W3125424168","https://openalex.org/W3126027418","https://openalex.org/W4205355447","https://openalex.org/W4237258338","https://openalex.org/W4245409838","https://openalex.org/W4247073408","https://openalex.org/W4302423442"],"related_works":["https://openalex.org/W2363364691","https://openalex.org/W1490368322","https://openalex.org/W2352891472","https://openalex.org/W1542788557","https://openalex.org/W1510505519","https://openalex.org/W2617530030","https://openalex.org/W3035452549","https://openalex.org/W2261740349","https://openalex.org/W2914925282","https://openalex.org/W2013095020"],"abstract_inverted_index":{"In":[0],"this":[1],"study,":[2],"we":[3,50],"develop":[4],"a":[5,38,52,57,73,79,113],"behavioral":[6,46,63,115],"portfolio":[7,26,47,116],"selection":[8],"model":[9,15,51,93],"that":[10,90,101],"incorporates":[11],"robust":[12],"estimators":[13],"for":[14],"inputs":[16],"in":[17,45,56,60,82],"order":[18],"to":[19,23,71,112],"reduce":[20],"the":[21,25,87],"need":[22],"change":[24],"over":[27],"consecutive":[28],"periods.":[29],"It":[30],"also":[31,77],"includes":[32],"Conditional":[33],"Value":[34],"at":[35],"Risk":[36],"as":[37],"sub-additive":[39],"risk":[40,54],"measure,":[41],"which":[42,61],"is":[43,94],"preferable":[44],"selection.":[48],"Finally,":[49],"varying":[53],"attitude":[55],"causal":[58],"network":[59],"investor":[62],"biases":[64],"and":[65,106],"latest":[66],"realized":[67],"return":[68],"are":[69,102],"related":[70],"using":[72],"causation":[74],"algorithm.":[75],"We":[76],"provide":[78],"case":[80],"study":[81],"Tehran":[83],"Stock":[84],"Exchange,":[85],"where":[86],"results":[88],"disclose":[89],"albeit":[91],"our":[92],"not":[95],"mean-variance":[96],"efficient,":[97],"it":[98],"selects":[99],"portfolios":[100],"robust,":[103],"well":[104],"diversified,":[105],"have":[107],"less":[108],"utility":[109],"loss":[110],"compared":[111],"well-known":[114],"model.":[117]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2026-07-07T06:14:10.401900","created_date":"2025-10-10T00:00:00"}
