{"id":"https://openalex.org/W1972802913","doi":"https://doi.org/10.1109/cec.2009.4983235","title":"Risk minimization with self-organizing maps for mutual fund investment","display_name":"Risk minimization with self-organizing maps for mutual fund investment","publication_year":2009,"publication_date":"2009-05-01","ids":{"openalex":"https://openalex.org/W1972802913","doi":"https://doi.org/10.1109/cec.2009.4983235","mag":"1972802913"},"language":"en","primary_location":{"id":"doi:10.1109/cec.2009.4983235","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2009.4983235","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2009 IEEE Congress on Evolutionary Computation","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/A5065405292","display_name":"Andrei A. Lukyanitsa","orcid":"https://orcid.org/0000-0002-0517-0602"},"institutions":[{"id":"https://openalex.org/I19880235","display_name":"Lomonosov Moscow State University","ror":"https://ror.org/010pmpe69","country_code":"RU","type":"education","lineage":["https://openalex.org/I19880235"]}],"countries":["RU"],"is_corresponding":true,"raw_author_name":"Andrei A. Lukyanitsa","raw_affiliation_strings":["Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]"],"affiliations":[{"raw_affiliation_string":"Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","institution_ids":["https://openalex.org/I19880235"]},{"raw_affiliation_string":"[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]","institution_ids":["https://openalex.org/I19880235"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068824891","display_name":"Sergei V. Nosov","orcid":"https://orcid.org/0000-0001-8427-1606"},"institutions":[{"id":"https://openalex.org/I19880235","display_name":"Lomonosov Moscow State University","ror":"https://ror.org/010pmpe69","country_code":"RU","type":"education","lineage":["https://openalex.org/I19880235"]}],"countries":["RU"],"is_corresponding":false,"raw_author_name":"Sergei V. Nosov","raw_affiliation_strings":["Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]"],"affiliations":[{"raw_affiliation_string":"Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","institution_ids":["https://openalex.org/I19880235"]},{"raw_affiliation_string":"[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]","institution_ids":["https://openalex.org/I19880235"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113528745","display_name":"\u0410. \u0413. \u0428\u0438\u0448\u043a\u0438\u043d","orcid":null},"institutions":[{"id":"https://openalex.org/I19880235","display_name":"Lomonosov Moscow State University","ror":"https://ror.org/010pmpe69","country_code":"RU","type":"education","lineage":["https://openalex.org/I19880235"]}],"countries":["RU"],"is_corresponding":false,"raw_author_name":"Alexei G. Shishkin","raw_affiliation_strings":["Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]"],"affiliations":[{"raw_affiliation_string":"Department of Computational Mathematics & Cybernetics, Moscow State University, Moscow, Russia","institution_ids":["https://openalex.org/I19880235"]},{"raw_affiliation_string":"[Department of Computational Mathematics & Cybernetics, Moscow State University, 119992, Russia]","institution_ids":["https://openalex.org/I19880235"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5065405292"],"corresponding_institution_ids":["https://openalex.org/I19880235"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.12094553,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"2361","last_page":"2365"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9776999950408936,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9776999950408936,"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":0.9516000151634216,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9004999995231628,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/mutual-fund","display_name":"Mutual fund","score":0.6473591923713684},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.6459794640541077},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6011847853660583},{"id":"https://openalex.org/keywords/target-date-fund","display_name":"Target date fund","score":0.5369192361831665},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5006446838378906},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.4802568256855011},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.465128630399704},{"id":"https://openalex.org/keywords/mutual-information","display_name":"Mutual information","score":0.4613831639289856},{"id":"https://openalex.org/keywords/minification","display_name":"Minification","score":0.4591732323169708},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.45761317014694214},{"id":"https://openalex.org/keywords/self-organizing-map","display_name":"Self-organizing map","score":0.4572432339191437},{"id":"https://openalex.org/keywords/ranking","display_name":"Ranking (information retrieval)","score":0.4500761330127716},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4101964235305786},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4006277620792389},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3337063193321228},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3084745705127716},{"id":"https://openalex.org/keywords/open-end-fund","display_name":"Open-end fund","score":0.25563085079193115},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.21082422137260437},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.18922433257102966},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.16467419266700745},{"id":"https://openalex.org/keywords/institutional-investor","display_name":"Institutional investor","score":0.1415645182132721}],"concepts":[{"id":"https://openalex.org/C2777064782","wikidata":"https://www.wikidata.org/wiki/Q791974","display_name":"Mutual fund","level":2,"score":0.6473591923713684},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.6459794640541077},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6011847853660583},{"id":"https://openalex.org/C17738144","wikidata":"https://www.wikidata.org/wiki/Q7685888","display_name":"Target date fund","level":5,"score":0.5369192361831665},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5006446838378906},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4802568256855011},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.465128630399704},{"id":"https://openalex.org/C152139883","wikidata":"https://www.wikidata.org/wiki/Q252973","display_name":"Mutual information","level":2,"score":0.4613831639289856},{"id":"https://openalex.org/C147764199","wikidata":"https://www.wikidata.org/wiki/Q6865248","display_name":"Minification","level":2,"score":0.4591732323169708},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.45761317014694214},{"id":"https://openalex.org/C111168008","wikidata":"https://www.wikidata.org/wiki/Q1136838","display_name":"Self-organizing map","level":3,"score":0.4572432339191437},{"id":"https://openalex.org/C189430467","wikidata":"https://www.wikidata.org/wiki/Q7293293","display_name":"Ranking (information retrieval)","level":2,"score":0.4500761330127716},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4101964235305786},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4006277620792389},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3337063193321228},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3084745705127716},{"id":"https://openalex.org/C155301685","wikidata":"https://www.wikidata.org/wiki/Q493177","display_name":"Open-end fund","level":4,"score":0.25563085079193115},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.21082422137260437},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.18922433257102966},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.16467419266700745},{"id":"https://openalex.org/C206757995","wikidata":"https://www.wikidata.org/wiki/Q1665188","display_name":"Institutional investor","level":3,"score":0.1415645182132721},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cec.2009.4983235","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2009.4983235","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2009 IEEE Congress on Evolutionary Computation","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5899999737739563}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":4,"referenced_works":["https://openalex.org/W1482753234","https://openalex.org/W1600704669","https://openalex.org/W1639032689","https://openalex.org/W3023540311"],"related_works":["https://openalex.org/W4319658997","https://openalex.org/W2559373498","https://openalex.org/W1974030291","https://openalex.org/W1184841866","https://openalex.org/W3121148049","https://openalex.org/W2995299331","https://openalex.org/W2462034760","https://openalex.org/W594280394","https://openalex.org/W2271978976","https://openalex.org/W2187233181"],"abstract_inverted_index":{"The":[0,84,96,111],"problem":[1],"of":[2,42,69,81,86,98],"optimal":[3,88],"mutual":[4,43,62,106],"fund":[5],"investment":[6],"taking":[7],"into":[8],"account":[9],"possible":[10,34],"risks":[11],"is":[12,94,101],"considered.":[13],"In":[14],"this":[15],"paper":[16],"we":[17],"consider":[18],"lost":[19],"profit":[20],"in":[21,28,128],"the":[22,40,67,104],"growing":[23,129],"market":[24,31],"and":[25,57,108,121,125,130],"a":[26,29,33,77,115],"loss":[27],"falling":[30,131],"as":[32],"risk.":[35],"Our":[36],"studies":[37],"show":[38],"that":[39],"efficiency":[41,124],"funds":[44,63,107],"can":[45],"be":[46],"estimated":[47],"by":[48,53,66],"nine":[49],"main":[50],"parameters":[51],"obtained":[52],"historical":[54],"data.":[55],"Evaluation":[56],"ranking":[58,79],"criteria":[59],"sets":[60],"for":[61,90,117],"are":[64],"defined":[65],"help":[68],"Kohonen":[70],"Self-Organizing":[71],"Maps.":[72],"We":[73],"propose":[74],"to":[75,103],"use":[76],"simplified":[78],"consisting":[80],"five":[82],"categories.":[83],"methodology":[85,113],"constructing":[87],"strategies":[89],"risk-sensitive":[91],"portfolio":[92,100],"optimization":[93],"proposed.":[95],"performance":[97],"constructed":[99],"superior":[102],"most":[105],"other":[109],"portfolios.":[110],"proposed":[112],"underwent":[114],"test":[116],"last":[118],"four":[119],"years":[120],"showed":[122],"high":[123],"robustness":[126],"both":[127],"(during":[132],"current":[133],"world":[134],"financial":[135],"crisis)":[136],"markets.":[137]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}