{"id":"https://openalex.org/W2890970073","doi":"https://doi.org/10.1109/cscwd.2018.8465263","title":"A Risk Measurement by Using Mean-Variance-Kurtosis Hybrid Multi-Objective Portfolio Optimization Model","display_name":"A Risk Measurement by Using Mean-Variance-Kurtosis Hybrid Multi-Objective Portfolio Optimization Model","publication_year":2018,"publication_date":"2018-05-01","ids":{"openalex":"https://openalex.org/W2890970073","doi":"https://doi.org/10.1109/cscwd.2018.8465263","mag":"2890970073"},"language":"en","primary_location":{"id":"doi:10.1109/cscwd.2018.8465263","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cscwd.2018.8465263","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE 22nd International Conference on Computer Supported Cooperative Work in Design ((CSCWD))","raw_type":"proceedings-article"},"type":"conference-paper","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/A5101623144","display_name":"Ximei Liu","orcid":"https://orcid.org/0000-0002-0577-0202"},"institutions":[{"id":"https://openalex.org/I139759216","display_name":"Beijing University of Posts and Telecommunications","ror":"https://ror.org/04w9fbh59","country_code":"CN","type":"education","lineage":["https://openalex.org/I139759216"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ximei Liu","raw_affiliation_strings":["School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing, P.R. China","institution_ids":["https://openalex.org/I139759216"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015964287","display_name":"Zahid Latif","orcid":"https://orcid.org/0000-0001-6735-7555"},"institutions":[{"id":"https://openalex.org/I139759216","display_name":"Beijing University of Posts and Telecommunications","ror":"https://ror.org/04w9fbh59","country_code":"CN","type":"education","lineage":["https://openalex.org/I139759216"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zahid Latif","raw_affiliation_strings":["School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing, P.R. China","institution_ids":["https://openalex.org/I139759216"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113821377","display_name":"Lv Yuan","orcid":null},"institutions":[{"id":"https://openalex.org/I134687103","display_name":"Nanjing Tech University","ror":"https://ror.org/03sd35x91","country_code":"CN","type":"education","lineage":["https://openalex.org/I134687103"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yuan Lv","raw_affiliation_strings":["Economics and Management Nanjing Technology University, Nanjing, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Economics and Management Nanjing Technology University, Nanjing, P.R. China","institution_ids":["https://openalex.org/I134687103"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":"17","issue":null,"first_page":"843","last_page":"847"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9990000128746033,"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":0.9990000128746033,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9973999857902527,"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"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9879999756813049,"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":0.8093142509460449},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6895498037338257},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.5357770919799805},{"id":"https://openalex.org/keywords/kurtosis","display_name":"Kurtosis","score":0.5280889868736267},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5224796533584595},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5066193342208862},{"id":"https://openalex.org/keywords/application-portfolio-management","display_name":"Application portfolio management","score":0.4774216413497925},{"id":"https://openalex.org/keywords/black\u2013litterman-model","display_name":"Black\u2013Litterman model","score":0.46907752752304077},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4655357897281647},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.4633721709251404},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.4438631236553192},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.42326781153678894},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41119885444641113},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.38880249857902527},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3787029981613159},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.3748944103717804},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.27617835998535156},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.17924359440803528},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.15423175692558289},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.11991319060325623}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.8093142509460449},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6895498037338257},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.5357770919799805},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.5280889868736267},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5224796533584595},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5066193342208862},{"id":"https://openalex.org/C73938075","wikidata":"https://www.wikidata.org/wiki/Q2858767","display_name":"Application portfolio management","level":4,"score":0.4774216413497925},{"id":"https://openalex.org/C77913304","wikidata":"https://www.wikidata.org/wiki/Q879967","display_name":"Black\u2013Litterman model","level":5,"score":0.46907752752304077},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4655357897281647},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.4633721709251404},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.4438631236553192},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.42326781153678894},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41119885444641113},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.38880249857902527},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3787029981613159},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.3748944103717804},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.27617835998535156},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.17924359440803528},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15423175692558289},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11991319060325623},{"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/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cscwd.2018.8465263","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cscwd.2018.8465263","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE 22nd International Conference on Computer Supported Cooperative Work in Design ((CSCWD))","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":15,"referenced_works":["https://openalex.org/W1647779468","https://openalex.org/W1990549299","https://openalex.org/W1997734048","https://openalex.org/W2038865108","https://openalex.org/W2076667641","https://openalex.org/W2110633225","https://openalex.org/W2117687469","https://openalex.org/W2132621139","https://openalex.org/W2346268583","https://openalex.org/W2352382229","https://openalex.org/W2364013522","https://openalex.org/W2366976228","https://openalex.org/W2374215288","https://openalex.org/W2378570302","https://openalex.org/W6649746325"],"related_works":["https://openalex.org/W3138053240","https://openalex.org/W3144753570","https://openalex.org/W3047888544","https://openalex.org/W1493156851","https://openalex.org/W3212422242","https://openalex.org/W4238892808","https://openalex.org/W2066032575","https://openalex.org/W4242666684","https://openalex.org/W2129865074","https://openalex.org/W2498125471"],"abstract_inverted_index":{"Asset":[0],"portfolio":[1,12,29,76,92,119],"turns":[2],"to":[3,31,46,61,71,94,105,129],"be":[4],"a":[5,79,126],"decision":[6],"problem":[7,34],"under":[8],"uncertain":[9],"environments.":[10],"In":[11,21],"problem,":[13],"the":[14,19,33,43,63,96,113,131],"return":[15],"is":[16],"characterized":[17],"by":[18],"mean.":[20],"this":[22],"paper,":[23],"we":[24,41,74,101],"combine":[25],"decision-making":[26,48,59],"models":[27,30,49,60,77,93,104,117,120],"and":[28,37,53,56,68,86,89,118,124],"solve":[32],"of":[35,65],"inventory":[36,52,85],"incremental":[38],"assets.":[39],"First,":[40],"use":[42,57,90],"0-1":[44],"programming":[45],"build":[47,75],"based":[50,83],"on":[51,84],"increased":[54,66,87],"assets,":[55,88],"these":[58,91,103],"determine":[62,95],"quantity":[64],"assets":[67,70],"which":[69],"invest.":[72],"Second,":[73],"with":[78],"defined":[80],"investment":[81,98,136],"ratio":[82],"optimal":[97],"ratio.":[99],"Finally,":[100],"apply":[102],"an":[106],"oil":[107],"company.":[108],"Experimental":[109],"results":[110],"reveal":[111],"that":[112],"proposed":[114],"decision-":[115],"making":[116],"are":[121],"very":[122],"reasonable":[123],"provide":[125],"useful":[127],"tool":[128],"assist":[130],"investors":[132],"in":[133],"planning":[134],"their":[135],"strategy.":[137]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}