{"id":"https://openalex.org/W3010785794","doi":"https://doi.org/10.1109/cdc40024.2019.9029381","title":"Distributionally Robust Portfolio Optimization","display_name":"Distributionally Robust Portfolio Optimization","publication_year":2019,"publication_date":"2019-12-01","ids":{"openalex":"https://openalex.org/W3010785794","doi":"https://doi.org/10.1109/cdc40024.2019.9029381","mag":"3010785794","pmid":"https://pubmed.ncbi.nlm.nih.gov/33723475"},"language":"en","primary_location":{"id":"doi:10.1109/cdc40024.2019.9029381","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc40024.2019.9029381","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE 58th Conference on Decision and Control (CDC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref","pubmed"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7956065","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031277812","display_name":"I. E. Bardakci","orcid":null},"institutions":[{"id":"https://openalex.org/I130769515","display_name":"Pennsylvania State University","ror":"https://ror.org/04p491231","country_code":"US","type":"education","lineage":["https://openalex.org/I130769515"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"I. E. Bardakci","raw_affiliation_strings":["Department of Electrical Engineering, the Pennsylvania State University, University Park, PA 16802, USA","Department of Electrical Engineering, Pennsylvania State University, University Park, PA, USA"],"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, the Pennsylvania State University, University Park, PA 16802, USA","institution_ids":["https://openalex.org/I130769515"]},{"raw_affiliation_string":"Department of Electrical Engineering, Pennsylvania State University, University Park, PA, USA","institution_ids":["https://openalex.org/I130769515"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035668981","display_name":"Constantino Lagoa","orcid":"https://orcid.org/0000-0001-6871-3240"},"institutions":[{"id":"https://openalex.org/I130769515","display_name":"Pennsylvania State University","ror":"https://ror.org/04p491231","country_code":"US","type":"education","lineage":["https://openalex.org/I130769515"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"C. M. Lagoa","raw_affiliation_strings":["Department of Electrical Engineering, the Pennsylvania State University, University Park, PA 16802, USA","Department of Electrical Engineering, Pennsylvania State University, University Park, PA, USA"],"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, the Pennsylvania State University, University Park, PA 16802, USA","institution_ids":["https://openalex.org/I130769515"]},{"raw_affiliation_string":"Department of Electrical Engineering, Pennsylvania State University, University Park, PA, USA","institution_ids":["https://openalex.org/I130769515"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5031277812"],"corresponding_institution_ids":["https://openalex.org/I130769515"],"apc_list":null,"apc_paid":null,"fwci":0.5942,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.7413111,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"2019","issue":null,"first_page":"1526","last_page":"1531"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"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":0.9998999834060669,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9944000244140625,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9908000230789185,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7217594385147095},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6806145310401917},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6586812734603882},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.5918384194374084},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.5911014676094055},{"id":"https://openalex.org/keywords/quadratic-programming","display_name":"Quadratic programming","score":0.589328408241272},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.5698481798171997},{"id":"https://openalex.org/keywords/portfolio-allocation","display_name":"Portfolio allocation","score":0.5097886919975281},{"id":"https://openalex.org/keywords/probability-distribution","display_name":"Probability distribution","score":0.5061566233634949},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4888760447502136},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.4827122390270233},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.4745952785015106},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.4259433150291443},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.41015490889549255},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.31031787395477295},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15301543474197388},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14320161938667297},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.10708186030387878},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.09988364577293396}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7217594385147095},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6806145310401917},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6586812734603882},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.5918384194374084},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5911014676094055},{"id":"https://openalex.org/C81845259","wikidata":"https://www.wikidata.org/wiki/Q290117","display_name":"Quadratic programming","level":2,"score":0.589328408241272},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.5698481798171997},{"id":"https://openalex.org/C2993800227","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio allocation","level":3,"score":0.5097886919975281},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.5061566233634949},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4888760447502136},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4827122390270233},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.4745952785015106},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.4259433150291443},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.41015490889549255},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31031787395477295},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15301543474197388},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14320161938667297},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.10708186030387878},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09988364577293396},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/cdc40024.2019.9029381","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc40024.2019.9029381","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE 58th Conference on Decision and Control (CDC)","raw_type":"proceedings-article"},{"id":"pmid:33723475","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/33723475","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the ... IEEE Conference on Decision & Control. IEEE Conference on Decision & Control","raw_type":null},{"id":"pmh:oai:pubmedcentral.nih.gov:7956065","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7956065","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Proc IEEE Conf Decis Control","raw_type":"Text"}],"best_oa_location":{"id":"pmh:oai:pubmedcentral.nih.gov:7956065","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7956065","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Proc IEEE Conf Decis Control","raw_type":"Text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1106997938","https://openalex.org/W1499070777","https://openalex.org/W1525854150","https://openalex.org/W1647779468","https://openalex.org/W1992208280","https://openalex.org/W2014838276","https://openalex.org/W2019291268","https://openalex.org/W2033500977","https://openalex.org/W2043602045","https://openalex.org/W2047632359","https://openalex.org/W2069099760","https://openalex.org/W2113642685","https://openalex.org/W2118856090","https://openalex.org/W2131868098","https://openalex.org/W2134919172","https://openalex.org/W2143552649","https://openalex.org/W2237177627","https://openalex.org/W2321124713","https://openalex.org/W2488157181","https://openalex.org/W2530438364","https://openalex.org/W3123552065","https://openalex.org/W3124407081","https://openalex.org/W3126139968","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W175006096","https://openalex.org/W2180949474","https://openalex.org/W4310823612","https://openalex.org/W4384826939","https://openalex.org/W2026665790","https://openalex.org/W1983760655","https://openalex.org/W2552756754","https://openalex.org/W2014375465","https://openalex.org/W4293570283","https://openalex.org/W2992344870"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3,36,65],"consider":[4],"the":[5,13,17,25,31,34,44,50,69,74,91],"problem":[6],"of":[7,16,24,30,33,40,53,90],"portfolio":[8],"optimization":[9],"involving":[10],"uncertainty":[11],"in":[12,58],"probability":[14],"distribution":[15],"assets":[18],"returns.":[19],"Starting":[20],"with":[21],"an":[22],"estimate":[23],"mean":[26],"and":[27,46,84],"covariance":[28],"matrix":[29],"returns":[32,45],"assets,":[35],"define":[37],"a":[38,59,85],"class":[39],"admissible":[41],"distributions":[42],"for":[43],"show":[47,66],"that":[48,67,72],"optimizing":[49],"worst-case":[51],"risk":[52,77],"loss":[54],"can":[55,78],"be":[56,79],"done":[57,80],"numerically":[60],"efficient":[61],"way.":[62],"More":[63],"precisely,":[64],"determining":[68],"asset":[70],"allocation":[71],"minimizes":[73],"distributionally":[75],"robust":[76],"using":[81,96],"quadratic":[82],"programming":[83],"one":[86],"line":[87],"search.":[88],"Effectiveness":[89],"proposed":[92],"approach":[93],"is":[94],"shown":[95],"academic":[97],"examples.":[98]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2026-01-13T01:12:25.745995","created_date":"2025-10-10T00:00:00"}