{"id":"https://openalex.org/W1593814692","doi":"https://doi.org/10.1109/cdc.2003.1271961","title":"Continuous-time mean-variance portfolio choice with no-bankruptcy constraint","display_name":"Continuous-time mean-variance portfolio choice with no-bankruptcy constraint","publication_year":2004,"publication_date":"2004-07-08","ids":{"openalex":"https://openalex.org/W1593814692","doi":"https://doi.org/10.1109/cdc.2003.1271961","mag":"1593814692"},"language":"en","primary_location":{"id":"doi:10.1109/cdc.2003.1271961","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2003.1271961","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475)","raw_type":"proceedings-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/A5022827284","display_name":"T.R. Bieleckik","orcid":null},"institutions":[{"id":"https://openalex.org/I27639287","display_name":"Northeastern Illinois University","ror":"https://ror.org/04edns687","country_code":"US","type":"education","lineage":["https://openalex.org/I27639287"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"T.R. Bieleckik","raw_affiliation_strings":["Mathematics Department, Northeastern Illinois University, USA"],"affiliations":[{"raw_affiliation_string":"Mathematics Department, Northeastern Illinois University, USA","institution_ids":["https://openalex.org/I27639287"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033320493","display_name":"Stanley R. Pliska","orcid":"https://orcid.org/0000-0001-8656-6221"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"S.R. Pliska","raw_affiliation_strings":["Department of Systems Eiig. &z Engineering Management, Chinese University of Hong Kong, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Department of Systems Eiig. &z Engineering Management, Chinese University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008645257","display_name":"Hanqing Jin","orcid":null},"institutions":[{"id":"https://openalex.org/I39422238","display_name":"University of Illinois Chicago","ror":"https://ror.org/02mpq6x41","country_code":"US","type":"education","lineage":["https://openalex.org/I39422238"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hanqing Jin","raw_affiliation_strings":["Department of Finance, University of Illinois, Chicago, USA"],"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Illinois, Chicago, USA","institution_ids":["https://openalex.org/I39422238"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5109487227","display_name":"Xun Yu Zhou","orcid":"https://orcid.org/0000-0003-0879-8400"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xun Yu Zhou","raw_affiliation_strings":["Department of Systems Eiig. &z Engineering Managellleiit, Chinese University of Hong Kong, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Department of Systems Eiig. &z Engineering Managellleiit, Chinese University of Hong Kong, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5022827284"],"corresponding_institution_ids":["https://openalex.org/I27639287"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.14024433,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"6","issue":null,"first_page":"5945","last_page":"5950"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.996399998664856,"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":0.9939000010490417,"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":0.7473545670509338},{"id":"https://openalex.org/keywords/bankruptcy","display_name":"Bankruptcy","score":0.688581109046936},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.6093007922172546},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5947456955909729},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.47829705476760864},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.4770573675632477},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.40734148025512695},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.38968828320503235},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3561078906059265},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.34052568674087524},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19507870078086853},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.19301649928092957}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7473545670509338},{"id":"https://openalex.org/C504631918","wikidata":"https://www.wikidata.org/wiki/Q152074","display_name":"Bankruptcy","level":2,"score":0.688581109046936},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.6093007922172546},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5947456955909729},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.47829705476760864},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.4770573675632477},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40734148025512695},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38968828320503235},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3561078906059265},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.34052568674087524},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19507870078086853},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19301649928092957},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"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":1,"locations":[{"id":"doi:10.1109/cdc.2003.1271961","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc.2003.1271961","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.49000000953674316}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W152731570","https://openalex.org/W1029641606","https://openalex.org/W1525883337","https://openalex.org/W2002788332","https://openalex.org/W2006776755","https://openalex.org/W2027659481","https://openalex.org/W2042775870","https://openalex.org/W2046553535","https://openalex.org/W2114102890","https://openalex.org/W2795413297","https://openalex.org/W3124574885","https://openalex.org/W4236670843"],"related_works":["https://openalex.org/W3122549952","https://openalex.org/W4247025800","https://openalex.org/W2179014274","https://openalex.org/W577805051","https://openalex.org/W326514058","https://openalex.org/W2381785583","https://openalex.org/W2356340798","https://openalex.org/W1594002696","https://openalex.org/W991441479","https://openalex.org/W2363364691"],"abstract_inverted_index":{"A":[0],"continuous-time":[1],"mean-variance":[2],"portfolio":[3],"selection":[4],"problem":[5,35],"is":[6,24,36],"studied":[7],"where":[8],"all":[9],"the":[10,16],"market":[11],"coefficients":[12],"are":[13],"random":[14],"and":[15],"wealth":[17],"process":[18],"under":[19],"any":[20,32],"admissible":[21],"trading":[22],"strategy":[23],"not":[25],"allowed":[26],"to":[27],"be":[28],"below":[29],"zero":[30],"at":[31],"time.":[33],"The":[34],"completely":[37],"solved":[38],"using":[39],"a":[40],"decomposition":[41],"approach.":[42]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
