{"id":"https://openalex.org/W2947826214","doi":"https://doi.org/10.1109/cogsima.2019.8724252","title":"Markov Decision Processes with Coherent Risk Measures: Risk Aversity in Asset Management","display_name":"Markov Decision Processes with Coherent Risk Measures: Risk Aversity in Asset Management","publication_year":2019,"publication_date":"2019-04-01","ids":{"openalex":"https://openalex.org/W2947826214","doi":"https://doi.org/10.1109/cogsima.2019.8724252","mag":"2947826214"},"language":"en","primary_location":{"id":"doi:10.1109/cogsima.2019.8724252","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cogsima.2019.8724252","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE Conference on Cognitive and Computational Aspects of Situation Management (CogSIMA)","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/A5057069621","display_name":"Y\u016bji Yoshida","orcid":"https://orcid.org/0000-0002-3302-3140"},"institutions":[{"id":"https://openalex.org/I17056963","display_name":"The University of Kitakyushu","ror":"https://ror.org/03mfefw72","country_code":"JP","type":"education","lineage":["https://openalex.org/I17056963"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Yuji Yoshida","raw_affiliation_strings":["Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, Japan"],"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, Japan","institution_ids":["https://openalex.org/I17056963"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5057069621"],"corresponding_institution_ids":["https://openalex.org/I17056963"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.05922274,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"147","last_page":"151"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998000264167786,"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":0.9998000264167786,"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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9918000102043152,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9745000004768372,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/coherent-risk-measure","display_name":"Coherent risk measure","score":0.7832387685775757},{"id":"https://openalex.org/keywords/spectral-risk-measure","display_name":"Spectral risk measure","score":0.76140296459198},{"id":"https://openalex.org/keywords/dynamic-risk-measure","display_name":"Dynamic risk measure","score":0.7604001760482788},{"id":"https://openalex.org/keywords/weighting","display_name":"Weighting","score":0.6344749927520752},{"id":"https://openalex.org/keywords/markov-decision-process","display_name":"Markov decision process","score":0.5974271297454834},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.5408947467803955},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5280633568763733},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.517333447933197},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.51118403673172},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5007805824279785},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4897151291370392},{"id":"https://openalex.org/keywords/decision-maker","display_name":"Decision maker","score":0.48007044196128845},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4705629348754883},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.46895045042037964},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.4392220675945282},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.3908635973930359},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.2599918246269226},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.25079864263534546},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.16767427325248718},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.15013998746871948},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1300765573978424},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.11792418360710144},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.10341620445251465},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.07437849044799805},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.06961333751678467}],"concepts":[{"id":"https://openalex.org/C148845407","wikidata":"https://www.wikidata.org/wiki/Q5141358","display_name":"Coherent risk measure","level":4,"score":0.7832387685775757},{"id":"https://openalex.org/C69257216","wikidata":"https://www.wikidata.org/wiki/Q7575204","display_name":"Spectral risk measure","level":4,"score":0.76140296459198},{"id":"https://openalex.org/C167548438","wikidata":"https://www.wikidata.org/wiki/Q5319012","display_name":"Dynamic risk measure","level":4,"score":0.7604001760482788},{"id":"https://openalex.org/C183115368","wikidata":"https://www.wikidata.org/wiki/Q856577","display_name":"Weighting","level":2,"score":0.6344749927520752},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.5974271297454834},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.5408947467803955},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5280633568763733},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.517333447933197},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.51118403673172},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5007805824279785},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4897151291370392},{"id":"https://openalex.org/C2986080485","wikidata":"https://www.wikidata.org/wiki/Q1331926","display_name":"Decision maker","level":2,"score":0.48007044196128845},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4705629348754883},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.46895045042037964},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.4392220675945282},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.3908635973930359},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.2599918246269226},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25079864263534546},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.16767427325248718},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.15013998746871948},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1300765573978424},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.11792418360710144},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.10341620445251465},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.07437849044799805},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.06961333751678467},{"id":"https://openalex.org/C126838900","wikidata":"https://www.wikidata.org/wiki/Q77604","display_name":"Radiology","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"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/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cogsima.2019.8724252","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cogsima.2019.8724252","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2019 IEEE Conference on Cognitive and Computational Aspects of Situation Management (CogSIMA)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.75,"display_name":"Peace, Justice and strong institutions","id":"https://metadata.un.org/sdg/16"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W1551275368","https://openalex.org/W1591570634","https://openalex.org/W1647779468","https://openalex.org/W1678814353","https://openalex.org/W1982899954","https://openalex.org/W2019291268","https://openalex.org/W2025611071","https://openalex.org/W2088413745","https://openalex.org/W2109122936","https://openalex.org/W2165622730","https://openalex.org/W2267865451","https://openalex.org/W2279759792","https://openalex.org/W2488157181","https://openalex.org/W2738611527","https://openalex.org/W2887974685","https://openalex.org/W2890252705","https://openalex.org/W6637429886","https://openalex.org/W6695246873","https://openalex.org/W6742073247"],"related_works":["https://openalex.org/W3125265748","https://openalex.org/W2741147126","https://openalex.org/W4301377905","https://openalex.org/W2291382242","https://openalex.org/W3180712247","https://openalex.org/W1985815497","https://openalex.org/W2950198523","https://openalex.org/W2408851247","https://openalex.org/W3121825436","https://openalex.org/W1024407309"],"abstract_inverted_index":{"Using":[0],"the":[1,33,38,68,78],"best":[2],"coherent":[3,28],"risk":[4,10,24,29,34,52,58,73,80],"measure":[5,30],"derived":[6],"from":[7],"decision":[8,21,39,55],"maker's":[9,40],"averse":[11,35,74],"utility,":[12],"a":[13],"dynamic":[14],"risk-minimizing":[15],"problem":[16],"is":[17],"discussed":[18],"in":[19,70],"Markov":[20],"process.":[22],"The":[23],"spectrum":[25],"for":[26],"this":[27],"can":[31],"inherit":[32],"property":[36],"of":[37],"utility":[41,75],"function":[42],"as":[43],"weighting,":[44],"This":[45],"paper":[46],"proposes":[47],"how":[48],"to":[49,66],"introduce":[50],"his":[51],"aversity":[53],"into":[54],"making":[56],"with":[57,72],"estimation.":[59],"A":[60],"few":[61],"numerical":[62],"examples":[63],"are":[64],"given":[65],"understand":[67],"results":[69],"comparison":[71],"functions":[76],"and":[77],"corresponding":[79],"spectra.":[81]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}