{"id":"https://openalex.org/W2789746826","doi":"https://doi.org/10.1080/10556788.2017.1414815","title":"Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm","display_name":"Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm","publication_year":2018,"publication_date":"2018-01-31","ids":{"openalex":"https://openalex.org/W2789746826","doi":"https://doi.org/10.1080/10556788.2017.1414815","mag":"2789746826"},"language":"en","primary_location":{"id":"doi:10.1080/10556788.2017.1414815","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10556788.2017.1414815","pdf_url":null,"source":{"id":"https://openalex.org/S103047102","display_name":"Optimization methods & software","issn_l":"1026-7670","issn":["1026-7670","1029-4937","1055-6788"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Optimization Methods and Software","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/A5100340530","display_name":"Qian Li","orcid":"https://orcid.org/0000-0001-5732-387X"},"institutions":[{"id":"https://openalex.org/I113940042","display_name":"Shanghai University","ror":"https://ror.org/006teas31","country_code":"CN","type":"education","lineage":["https://openalex.org/I113940042"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Qian Li","raw_affiliation_strings":["Department of Mathematics, Shanghai University, Shanghai, People's Republic of China"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai University, Shanghai, People's Republic of China","institution_ids":["https://openalex.org/I113940042"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078743112","display_name":"Yanqin Bai","orcid":"https://orcid.org/0000-0002-6038-0805"},"institutions":[{"id":"https://openalex.org/I113940042","display_name":"Shanghai University","ror":"https://ror.org/006teas31","country_code":"CN","type":"education","lineage":["https://openalex.org/I113940042"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yanqin Bai","raw_affiliation_strings":["Department of Mathematics, Shanghai University, Shanghai, People's Republic of China"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai University, Shanghai, People's Republic of China","institution_ids":["https://openalex.org/I113940042"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018378010","display_name":"Xin Yan","orcid":"https://orcid.org/0000-0003-3630-8173"},"institutions":[{"id":"https://openalex.org/I905225518","display_name":"Shanghai University of International Business and Economics","ror":"https://ror.org/031t68441","country_code":"CN","type":"education","lineage":["https://openalex.org/I905225518"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xin Yan","raw_affiliation_strings":["School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, People's Republic of China"],"affiliations":[{"raw_affiliation_string":"School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, People's Republic of China","institution_ids":["https://openalex.org/I905225518"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5041617064","display_name":"Wei Zhang","orcid":"https://orcid.org/0000-0002-6195-169X"},"institutions":[{"id":"https://openalex.org/I113940042","display_name":"Shanghai University","ror":"https://ror.org/006teas31","country_code":"CN","type":"education","lineage":["https://openalex.org/I113940042"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wei Zhang","raw_affiliation_strings":["Department of Mathematics, Shanghai University, Shanghai, People's Republic of China"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shanghai University, Shanghai, People's Republic of China","institution_ids":["https://openalex.org/I113940042"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5078743112"],"corresponding_institution_ids":["https://openalex.org/I113940042"],"apc_list":null,"apc_paid":null,"fwci":1.0587,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.78989796,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"34","issue":"3","first_page":"612","last_page":"633"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"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":0.9997000098228455,"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":0.9986000061035156,"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":0.9972000122070312,"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/diversification","display_name":"Diversification (marketing strategy)","score":0.6907675266265869},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6185551881790161},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.6142783164978027},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5630586743354797},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5325818061828613},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.49068987369537354},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.45051828026771545},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.38051140308380127},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1463918387889862},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.13441786170005798},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12209311127662659}],"concepts":[{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.6907675266265869},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6185551881790161},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.6142783164978027},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5630586743354797},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5325818061828613},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.49068987369537354},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.45051828026771545},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38051140308380127},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1463918387889862},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.13441786170005798},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12209311127662659},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/10556788.2017.1414815","is_oa":false,"landing_page_url":"https://doi.org/10.1080/10556788.2017.1414815","pdf_url":null,"source":{"id":"https://openalex.org/S103047102","display_name":"Optimization methods & software","issn_l":"1026-7670","issn":["1026-7670","1029-4937","1055-6788"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Optimization Methods and Software","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G815453182","display_name":null,"funder_award_id":"No. 11771275","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1530501119","https://openalex.org/W1551275368","https://openalex.org/W1859065560","https://openalex.org/W1968511016","https://openalex.org/W1987083649","https://openalex.org/W1995834279","https://openalex.org/W2024484010","https://openalex.org/W2043677016","https://openalex.org/W2045744861","https://openalex.org/W2064317526","https://openalex.org/W2083137236","https://openalex.org/W2149170345","https://openalex.org/W2167732364","https://openalex.org/W2421143664","https://openalex.org/W2516436936","https://openalex.org/W4234534407","https://openalex.org/W4236670843"],"related_works":["https://openalex.org/W2479414348","https://openalex.org/W2363364691","https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4206877017","https://openalex.org/W4327779378"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2],"we":[3,57],"propose":[4],"an":[5],"optimal":[6],"trade-off":[7,51,60],"model":[8,36,52,61,118],"for":[9,91,123],"portfolio":[10,34,125],"selection":[11,35],"with":[12,37,130,152],"the":[13,21,28,32,59,83,89,93,103,107,116,131,145,148,153],"effect":[14],"of":[15,26,41,88,140,147],"systematic":[16,24,42],"risk":[17,25,29,43,126],"diversification,":[18],"measured":[19],"by":[20,98],"maximum":[22],"marginal":[23],"all":[27],"contributors.":[30],"First,":[31],"classical":[33],"constraints":[38],"on":[39,101],"allocation":[40],"is":[44,96,119],"shown":[45],"to":[46,49,81,143],"be":[47,79],"equivalent":[48],"our":[50],"under":[53],"certain":[54],"conditions.":[55],"Then,":[56],"transform":[58],"into":[62],"a":[63,72,120,138],"special":[64],"non-convex":[65],"and":[66,106],"non-smooth":[67],"composite":[68,84,94],"problem":[69,95],"equivalently.":[70],"Thus":[71],"modified":[73,149],"accelerated":[74],"gradient":[75],"(AG)":[76],"algorithm":[77,90,151],"can":[78],"introduced":[80],"solve":[82],"problem.":[85],"The":[86],"efficiency":[87],"solving":[92],"demonstrated":[97],"theoretical":[99],"results":[100],"both":[102],"convergence":[104],"rate":[105],"iteration":[108],"complexity":[109],"bound.":[110],"Finally,":[111],"empirical":[112],"analysis":[113],"demonstrates":[114],"that":[115],"proposed":[117],"preferred":[121],"tool":[122],"active":[124],"management":[127],"when":[128],"compared":[129],"existing":[132],"models.":[133],"We":[134],"also":[135],"carry":[136],"out":[137],"series":[139],"numerical":[141],"experiments":[142],"compare":[144],"performance":[146],"AG":[150],"other":[154],"three":[155],"first-order":[156],"algorithms.":[157]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
