{"id":"https://openalex.org/W4214685363","doi":"https://doi.org/10.1080/17477778.2022.2041990","title":"A GA-simheuristic for the stochastic and multi-period portfolio optimisation problem with liabilities","display_name":"A GA-simheuristic for the stochastic and multi-period portfolio optimisation problem with liabilities","publication_year":2022,"publication_date":"2022-03-01","ids":{"openalex":"https://openalex.org/W4214685363","doi":"https://doi.org/10.1080/17477778.2022.2041990"},"language":"en","primary_location":{"id":"doi:10.1080/17477778.2022.2041990","is_oa":false,"landing_page_url":"https://doi.org/10.1080/17477778.2022.2041990","pdf_url":null,"source":{"id":"https://openalex.org/S207180383","display_name":"Journal of Simulation","issn_l":"1747-7778","issn":["1747-7778","1747-7786","1774-7786"],"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":"Journal of Simulation","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/A5089064183","display_name":"Armando Nieto","orcid":null},"institutions":[{"id":"https://openalex.org/I138847295","display_name":"Universitat Oberta de Catalunya","ror":"https://ror.org/01f5wp925","country_code":"ES","type":"education","lineage":["https://openalex.org/I138847295"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Armando Nieto","raw_affiliation_strings":["IN3 \u2013 Computer Science Department, Universitat Oberta de Catalunya, Barcelona, Spain"],"affiliations":[{"raw_affiliation_string":"IN3 \u2013 Computer Science Department, Universitat Oberta de Catalunya, Barcelona, Spain","institution_ids":["https://openalex.org/I138847295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5011802640","display_name":"Marti Serra","orcid":null},"institutions":[{"id":"https://openalex.org/I138847295","display_name":"Universitat Oberta de Catalunya","ror":"https://ror.org/01f5wp925","country_code":"ES","type":"education","lineage":["https://openalex.org/I138847295"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Marti Serra","raw_affiliation_strings":["IN3 \u2013 Computer Science Department, Universitat Oberta de Catalunya, Barcelona, Spain"],"affiliations":[{"raw_affiliation_string":"IN3 \u2013 Computer Science Department, Universitat Oberta de Catalunya, Barcelona, Spain","institution_ids":["https://openalex.org/I138847295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080136207","display_name":"\u00c1ngel A. Juan","orcid":"https://orcid.org/0000-0003-1392-1776"},"institutions":[{"id":"https://openalex.org/I60053951","display_name":"Universitat Polit\u00e8cnica de Val\u00e8ncia","ror":"https://ror.org/01460j859","country_code":"ES","type":"education","lineage":["https://openalex.org/I60053951"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Angel A. Juan","raw_affiliation_strings":["Department of Applied Statistics & Operations Research and Quality, Universitat Polit\u00e8cnica de Val\u00e8ncia, Alcoy, Spain"],"affiliations":[{"raw_affiliation_string":"Department of Applied Statistics & Operations Research and Quality, Universitat Polit\u00e8cnica de Val\u00e8ncia, Alcoy, Spain","institution_ids":["https://openalex.org/I60053951"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5084561837","display_name":"Christopher Bayliss","orcid":"https://orcid.org/0000-0003-0031-5937"},"institutions":[{"id":"https://openalex.org/I146655781","display_name":"University of Liverpool","ror":"https://ror.org/04xs57h96","country_code":"GB","type":"education","lineage":["https://openalex.org/I146655781"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Christopher Bayliss","raw_affiliation_strings":["Management School, University of Liverpool, Liverpool, UK"],"affiliations":[{"raw_affiliation_string":"Management School, University of Liverpool, Liverpool, UK","institution_ids":["https://openalex.org/I146655781"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5089064183"],"corresponding_institution_ids":["https://openalex.org/I138847295"],"apc_list":null,"apc_paid":null,"fwci":2.1971,"has_fulltext":false,"cited_by_count":13,"citation_normalized_percentile":{"value":0.87923503,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"17","issue":"5","first_page":"632","last_page":"645"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994000196456909,"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":0.9994000196456909,"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/T10100","display_name":"Metaheuristic Optimization Algorithms Research","score":0.9817000031471252,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9725000262260437,"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/computer-science","display_name":"Computer science","score":0.7859112024307251},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.587536633014679},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.5358947515487671},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4869764745235443},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.46308666467666626},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.4502581059932709},{"id":"https://openalex.org/keywords/computational-finance","display_name":"Computational finance","score":0.43204957246780396},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.4219595491886139},{"id":"https://openalex.org/keywords/genetic-algorithm","display_name":"Genetic algorithm","score":0.420910120010376},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.26404136419296265},{"id":"https://openalex.org/keywords/project-management","display_name":"Project management","score":0.20077887177467346},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.12387469410896301},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.10625937581062317}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7859112024307251},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.587536633014679},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.5358947515487671},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4869764745235443},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.46308666467666626},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.4502581059932709},{"id":"https://openalex.org/C146880194","wikidata":"https://www.wikidata.org/wiki/Q61715222","display_name":"Computational finance","level":2,"score":0.43204957246780396},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.4219595491886139},{"id":"https://openalex.org/C8880873","wikidata":"https://www.wikidata.org/wiki/Q187787","display_name":"Genetic algorithm","level":2,"score":0.420910120010376},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.26404136419296265},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.20077887177467346},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.12387469410896301},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.10625937581062317},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/17477778.2022.2041990","is_oa":false,"landing_page_url":"https://doi.org/10.1080/17477778.2022.2041990","pdf_url":null,"source":{"id":"https://openalex.org/S207180383","display_name":"Journal of Simulation","issn_l":"1747-7778","issn":["1747-7778","1747-7786","1774-7786"],"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":"Journal of Simulation","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:tjsmxx:v:17:y:2023:i:5:p:632-645","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/17477778.2022.2041990","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":65,"referenced_works":["https://openalex.org/W42020118","https://openalex.org/W158395739","https://openalex.org/W562431879","https://openalex.org/W622935592","https://openalex.org/W1669104078","https://openalex.org/W1977380994","https://openalex.org/W1985515068","https://openalex.org/W1995634166","https://openalex.org/W2003689240","https://openalex.org/W2010489737","https://openalex.org/W2016871643","https://openalex.org/W2030527334","https://openalex.org/W2061871211","https://openalex.org/W2062049475","https://openalex.org/W2062229217","https://openalex.org/W2073819664","https://openalex.org/W2082231108","https://openalex.org/W2082803320","https://openalex.org/W2091937574","https://openalex.org/W2122662808","https://openalex.org/W2154683801","https://openalex.org/W2204841730","https://openalex.org/W2333004159","https://openalex.org/W2405025139","https://openalex.org/W2410780574","https://openalex.org/W2420892151","https://openalex.org/W2568426016","https://openalex.org/W2592822424","https://openalex.org/W2599108524","https://openalex.org/W2618056368","https://openalex.org/W2730577323","https://openalex.org/W2752153790","https://openalex.org/W2771925028","https://openalex.org/W2789634090","https://openalex.org/W2800390538","https://openalex.org/W2801883131","https://openalex.org/W2811072884","https://openalex.org/W2811103988","https://openalex.org/W2811106677","https://openalex.org/W2890653657","https://openalex.org/W2891504713","https://openalex.org/W2896014154","https://openalex.org/W2897040440","https://openalex.org/W2941051560","https://openalex.org/W2950937885","https://openalex.org/W2969303097","https://openalex.org/W2969558812","https://openalex.org/W2970574405","https://openalex.org/W2972005452","https://openalex.org/W3014310786","https://openalex.org/W3022094486","https://openalex.org/W3037704972","https://openalex.org/W3083821620","https://openalex.org/W3092959182","https://openalex.org/W3093454618","https://openalex.org/W3122992690","https://openalex.org/W3124488797","https://openalex.org/W3125628266","https://openalex.org/W3125976900","https://openalex.org/W3191260330","https://openalex.org/W4232474910","https://openalex.org/W4252847236","https://openalex.org/W6648339152","https://openalex.org/W6983157516","https://openalex.org/W6995912756"],"related_works":["https://openalex.org/W3201861680","https://openalex.org/W2044090075","https://openalex.org/W2768197547","https://openalex.org/W2996452312","https://openalex.org/W4286620652","https://openalex.org/W3123691730","https://openalex.org/W4377695609","https://openalex.org/W3198108659","https://openalex.org/W4385232313","https://openalex.org/W2090083338"],"abstract_inverted_index":{"The":[0],"efficient":[1],"management":[2],"of":[3,47,73,81,109,124,130,141],"assets":[4],"to":[5,34,85],"cover":[6],"a":[7,11,15,54,61,74],"firm\u2019s":[8],"liabilities":[9],"over":[10],"multi-period":[12],"horizon":[13],"is":[14,29,79,97],"relevant":[16],"challenge":[17],"for":[18,107],"many":[19],"financial":[20,145],"companies.":[21],"Even":[22],"in":[23,53,89,119,144],"its":[24],"deterministic":[25],"version,":[26],"this":[27,58],"problem":[28,88],"complex":[30],"since":[31],"managers":[32,108],"have":[33],"make":[35],"difficult":[36],"decisions":[37],"about":[38],"their":[39],"asset":[40],"portfolio":[41],"each":[42],"period.":[43],"With":[44],"the":[45,49,86,105,110,128,139],"goal":[46],"maximising":[48],"expected":[50],"terminal":[51],"wealth":[52],"scenario":[55],"under":[56,148],"uncertainty,":[57],"paper":[59],"proposes":[60],"novel":[62],"simheuristic":[63,96],"approach":[64,78],"that":[65,103],"integrates":[66],"Monte":[67],"Carlo":[68],"simulation":[69,143],"at":[70],"different":[71],"stages":[72],"Genetic":[75],"Algorithm.":[76],"Our":[77],"capable":[80],"generating":[82],"effective":[83],"solutions":[84],"considered":[87],"relatively":[90],"short":[91],"computational":[92,125],"times.":[93],"Moreover,":[94],"our":[95],"enriched":[98],"with":[99],"several":[100],"\u201csmoothing\u201d":[101],"techniques":[102],"enhance":[104],"attractiveness":[106],"generated":[111],"solutions,":[112],"so":[113],"they":[114],"can":[115],"be":[116],"effectively":[117],"employed":[118],"real-life":[120],"applications.":[121],"A":[122],"series":[123],"experiments,":[126],"including":[127,142],"use":[129],"advanced":[131],"evolutionary":[132],"strategies,":[133],"illustrate":[134],"these":[135],"concepts":[136],"and":[137],"justify":[138],"advantages":[140],"optimisation":[146],"problems":[147],"uncertainty.":[149]},"counts_by_year":[{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2}],"updated_date":"2026-03-07T16:01:11.037858","created_date":"2025-10-10T00:00:00"}