{"id":"https://openalex.org/W3193142213","doi":"https://doi.org/10.1109/cifer52523.2022.9776199","title":"Portfolio optimization with choice of a probability measure","display_name":"Portfolio optimization with choice of a probability measure","publication_year":2022,"publication_date":"2022-05-01","ids":{"openalex":"https://openalex.org/W3193142213","doi":"https://doi.org/10.1109/cifer52523.2022.9776199","mag":"3193142213"},"language":"en","primary_location":{"id":"doi:10.1109/cifer52523.2022.9776199","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer52523.2022.9776199","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr)","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/A5103232130","display_name":"Taiga Saito","orcid":"https://orcid.org/0000-0002-5417-639X"},"institutions":[{"id":"https://openalex.org/I74801974","display_name":"The University of Tokyo","ror":"https://ror.org/057zh3y96","country_code":"JP","type":"education","lineage":["https://openalex.org/I74801974"]},{"id":"https://openalex.org/I3132069261","display_name":"Japan University of Economics","ror":"https://ror.org/039k5fe46","country_code":"JP","type":"education","lineage":["https://openalex.org/I3132069261"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Taiga Saito","raw_affiliation_strings":["The University of Tokyo,Graduate School of Economics,Tokyo,Japan","Graduate School of Economics, The University of Tokyo, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"The University of Tokyo,Graduate School of Economics,Tokyo,Japan","institution_ids":["https://openalex.org/I74801974","https://openalex.org/I3132069261"]},{"raw_affiliation_string":"Graduate School of Economics, The University of Tokyo, Tokyo, Japan","institution_ids":["https://openalex.org/I74801974"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101861054","display_name":"Akihiko Takahashi","orcid":"https://orcid.org/0000-0001-5358-5311"},"institutions":[{"id":"https://openalex.org/I3132069261","display_name":"Japan University of Economics","ror":"https://ror.org/039k5fe46","country_code":"JP","type":"education","lineage":["https://openalex.org/I3132069261"]},{"id":"https://openalex.org/I74801974","display_name":"The University of Tokyo","ror":"https://ror.org/057zh3y96","country_code":"JP","type":"education","lineage":["https://openalex.org/I74801974"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Akihiko Takahashi","raw_affiliation_strings":["The University of Tokyo,Graduate School of Economics,Tokyo,Japan","Graduate School of Economics, The University of Tokyo, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"The University of Tokyo,Graduate School of Economics,Tokyo,Japan","institution_ids":["https://openalex.org/I74801974","https://openalex.org/I3132069261"]},{"raw_affiliation_string":"Graduate School of Economics, The University of Tokyo, Tokyo, Japan","institution_ids":["https://openalex.org/I74801974"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5103232130"],"corresponding_institution_ids":["https://openalex.org/I3132069261","https://openalex.org/I74801974"],"apc_list":null,"apc_paid":null,"fwci":0.2032,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.49070145,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"10"},"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":0.9965999722480774,"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":0.9961000084877014,"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":0.7363370656967163},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.60591721534729},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5903694033622742},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5591882467269897},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.5430107116699219},{"id":"https://openalex.org/keywords/probability-measure","display_name":"Probability measure","score":0.5053908824920654},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.4732920527458191},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4577949643135071},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.45369675755500793},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4529307782649994},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4326215982437134},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.42687657475471497},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.42614784836769104},{"id":"https://openalex.org/keywords/mertons-portfolio-problem","display_name":"Merton's portfolio problem","score":0.4230485260486603},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.4206623435020447},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.41819703578948975},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4159841239452362},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3801228106021881},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.3282085061073303},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.32399994134902954},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.2890666723251343},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.24794051051139832},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16511020064353943},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07370185852050781}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7363370656967163},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.60591721534729},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5903694033622742},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5591882467269897},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.5430107116699219},{"id":"https://openalex.org/C21031990","wikidata":"https://www.wikidata.org/wiki/Q355020","display_name":"Probability measure","level":2,"score":0.5053908824920654},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.4732920527458191},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4577949643135071},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.45369675755500793},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4529307782649994},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4326215982437134},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.42687657475471497},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.42614784836769104},{"id":"https://openalex.org/C114866470","wikidata":"https://www.wikidata.org/wiki/Q3467003","display_name":"Merton's portfolio problem","level":5,"score":0.4230485260486603},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.4206623435020447},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.41819703578948975},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4159841239452362},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3801228106021881},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.3282085061073303},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.32399994134902954},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2890666723251343},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24794051051139832},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16511020064353943},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07370185852050781},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer52523.2022.9776199","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer52523.2022.9776199","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W71165104","https://openalex.org/W1540817759","https://openalex.org/W1963798578","https://openalex.org/W1994932624","https://openalex.org/W2002860789","https://openalex.org/W2028757433","https://openalex.org/W2042775870","https://openalex.org/W2055688117","https://openalex.org/W2067091303","https://openalex.org/W2074414121","https://openalex.org/W2089710246","https://openalex.org/W2113151258","https://openalex.org/W2120547244","https://openalex.org/W2766640423","https://openalex.org/W2802519656","https://openalex.org/W2906766930","https://openalex.org/W2920859411","https://openalex.org/W2962418028","https://openalex.org/W2992175681","https://openalex.org/W3005974372","https://openalex.org/W3021713328","https://openalex.org/W3021921038","https://openalex.org/W3048060871","https://openalex.org/W3121649785","https://openalex.org/W3174255652","https://openalex.org/W6657491283"],"related_works":["https://openalex.org/W2153969568","https://openalex.org/W2067268581","https://openalex.org/W2348792743","https://openalex.org/W2998948027","https://openalex.org/W2260049256","https://openalex.org/W3125883630","https://openalex.org/W2612189809","https://openalex.org/W4379107517","https://openalex.org/W2181882443","https://openalex.org/W2062544113"],"abstract_inverted_index":{"This":[0,50],"paper":[1],"considers":[2],"a":[3,10,13,28,36,39,88,112],"new":[4],"problem":[5,19,26,30,51,106,119],"for":[6],"portfolio":[7,124,134,158],"optimization":[8],"with":[9,141],"choice":[11,37],"of":[12,32,38,47,72,83,87,131,153],"probability":[14,40],"measure,":[15],"particularly":[16],"optimal":[17,33,123,133],"investment":[18,34],"under":[20,135],"sentiments.":[21],"Firstly,":[22],"we":[23,79,110,127],"formulate":[24],"the":[25,48,54,57,76,84,95,104,118,132,136,151,154,157],"as":[27],"sup-sup-inf":[29,105],"consisting":[31],"and":[35,44,61,70,120,149],"measure":[41],"expressing":[42],"aggressive":[43],"conservative":[45,60,96],"attitudes":[46],"investor.":[49],"also":[52],"includes":[53],"case":[55,148],"where":[56,103],"agent":[58],"has":[59],"neutral":[62],"views":[63],"on":[64,156],"risks":[65],"represented":[66],"by":[67],"Brownian":[68],"motions":[69],"degrees":[71],"conservativeness":[73],"differ":[74],"among":[75],"risk.":[77],"Secondly,":[78],"obtain":[80,121],"an":[81,122,129,145],"expression":[82,130],"volatility":[85],"process":[86],"backward":[89],"stochastic":[90,142],"differential":[91],"equation":[92],"related":[93],"to":[94,100,116],"sentiment":[97],"in":[98,138,144],"order":[99],"investigate":[101,150],"cases":[102],"is":[107],"solved.":[108],"Specifically,":[109],"take":[111],"Malliavin":[113],"calculus":[114],"approach":[115],"solve":[117],"process.":[125,159],"Finally,":[126],"provide":[128],"sentiments":[137,155],"two":[139],"examples":[140],"uncertainties":[143],"exponential":[146],"utility":[147],"impact":[152]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
