{"id":"https://openalex.org/W3124893074","doi":"https://doi.org/10.1109/csit49958.2020.9322025","title":"Fuzzy Portfolio Optimization Problem Under Uncertainty and Its Solution","display_name":"Fuzzy Portfolio Optimization Problem Under Uncertainty and Its Solution","publication_year":2020,"publication_date":"2020-09-23","ids":{"openalex":"https://openalex.org/W3124893074","doi":"https://doi.org/10.1109/csit49958.2020.9322025","mag":"3124893074"},"language":"en","primary_location":{"id":"doi:10.1109/csit49958.2020.9322025","is_oa":false,"landing_page_url":"https://doi.org/10.1109/csit49958.2020.9322025","pdf_url":null,"source":{"id":"https://openalex.org/S4306498651","display_name":"2020 IEEE 15th International Conference on Computer Sciences and Information Technologies (CSIT)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 IEEE 15th International Conference on Computer Sciences and Information Technologies (CSIT)","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/A5066983455","display_name":"Yuriy Zaychenko","orcid":"https://orcid.org/0000-0001-9662-3269"},"institutions":[{"id":"https://openalex.org/I202483615","display_name":"National Technical University of Ukraine \u201cIgor Sikorsky Kyiv Polytechnic Institute\u201d","ror":"https://ror.org/00syn5v21","country_code":"UA","type":"education","lineage":["https://openalex.org/I202483615"]}],"countries":["UA"],"is_corresponding":true,"raw_author_name":"Yuriy Zaychenko","raw_affiliation_strings":["Institute for Applied System Analysis, Igor Sikorsky Kyiv Polytechnic Institute, Kyiv, Ukraine"],"affiliations":[{"raw_affiliation_string":"Institute for Applied System Analysis, Igor Sikorsky Kyiv Polytechnic Institute, Kyiv, Ukraine","institution_ids":["https://openalex.org/I202483615"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5011718363","display_name":"Helen Zaychenko","orcid":null},"institutions":[{"id":"https://openalex.org/I202483615","display_name":"National Technical University of Ukraine \u201cIgor Sikorsky Kyiv Polytechnic Institute\u201d","ror":"https://ror.org/00syn5v21","country_code":"UA","type":"education","lineage":["https://openalex.org/I202483615"]}],"countries":["UA"],"is_corresponding":false,"raw_author_name":"Helen Zaychenko","raw_affiliation_strings":["Institute for Applied System Analysis, Igor Sikorsky Kyiv Polytechnic Institute, Kyiv, Ukraine"],"affiliations":[{"raw_affiliation_string":"Institute for Applied System Analysis, Igor Sikorsky Kyiv Polytechnic Institute, Kyiv, Ukraine","institution_ids":["https://openalex.org/I202483615"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5066983455"],"corresponding_institution_ids":["https://openalex.org/I202483615"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.35245902,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"6"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12667","display_name":"Economic and Technological Developments in Russia","score":0.9146000146865845,"subfield":{"id":"https://openalex.org/subfields/3303","display_name":"Development"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12667","display_name":"Economic and Technological Developments in Russia","score":0.9146000146865845,"subfield":{"id":"https://openalex.org/subfields/3303","display_name":"Development"},"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":0.7988699674606323},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.686254620552063},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6767774224281311},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.6325191259384155},{"id":"https://openalex.org/keywords/black\u2013litterman-model","display_name":"Black\u2013Litterman model","score":0.5981863737106323},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.5308455228805542},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.48860985040664673},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4704538583755493},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.46182140707969666},{"id":"https://openalex.org/keywords/fuzzy-set","display_name":"Fuzzy set","score":0.4583415985107422},{"id":"https://openalex.org/keywords/portfolio-investment","display_name":"Portfolio investment","score":0.41103559732437134},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.40274396538734436},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3635672330856323},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2256680130958557},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.15723451972007751},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.12153038382530212}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7988699674606323},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.686254620552063},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6767774224281311},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.6325191259384155},{"id":"https://openalex.org/C77913304","wikidata":"https://www.wikidata.org/wiki/Q879967","display_name":"Black\u2013Litterman model","level":5,"score":0.5981863737106323},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.5308455228805542},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.48860985040664673},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4704538583755493},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.46182140707969666},{"id":"https://openalex.org/C42011625","wikidata":"https://www.wikidata.org/wiki/Q1055058","display_name":"Fuzzy set","level":3,"score":0.4583415985107422},{"id":"https://openalex.org/C75956513","wikidata":"https://www.wikidata.org/wiki/Q609343","display_name":"Portfolio investment","level":3,"score":0.41103559732437134},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.40274396538734436},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3635672330856323},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2256680130958557},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.15723451972007751},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.12153038382530212}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/csit49958.2020.9322025","is_oa":false,"landing_page_url":"https://doi.org/10.1109/csit49958.2020.9322025","pdf_url":null,"source":{"id":"https://openalex.org/S4306498651","display_name":"2020 IEEE 15th International Conference on Computer Sciences and Information Technologies (CSIT)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2020 IEEE 15th International Conference on Computer Sciences and Information Technologies (CSIT)","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":8,"referenced_works":["https://openalex.org/W2188574378","https://openalex.org/W2189247414","https://openalex.org/W2506505331","https://openalex.org/W4211007335","https://openalex.org/W6686896534","https://openalex.org/W6687241634","https://openalex.org/W6724629272","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W3198789915","https://openalex.org/W4327968198","https://openalex.org/W4328096161","https://openalex.org/W639967202","https://openalex.org/W2260325777","https://openalex.org/W2484237887","https://openalex.org/W2123851407","https://openalex.org/W2354734309","https://openalex.org/W2363893031","https://openalex.org/W4242271521"],"abstract_inverted_index":{"The":[0,40,73,100],"problem":[1,42,49,55,78],"of":[2,7,20,23,43,57,103],"constructing":[3],"an":[4],"optimal":[5],"portfolio":[6,25,45,59,76,91,107,116],"securities":[8],"under":[9,27,88],"uncertainty":[10,28],"is":[11,29,60,79,86],"considered":[12],"in":[13,82],"paper.":[14],"In":[15,52],"this":[16],"work":[17],"the":[18,53,65,69,104],"fundamentals":[19],"novel":[21],"theory":[22,35],"investment":[24],"optimization":[26,46,77],"presented":[30],"based":[31],"on":[32,90],"fuzzy":[33,44,75,106],"set":[34],"and":[36,47,97,112],"efficient":[37],"forecasting":[38],"methods.":[39],"direct":[41,54],"dual":[48],"are":[50],"considered.":[51],"structure":[56],"a":[58],"determined":[61],"which":[62,83],"will":[63],"provide":[64],"maximum":[66,84],"profitability":[67,85],"at":[68],"given":[70],"risk":[71],"level..":[72],"modified":[74],"also":[80],"suggested":[81,105],"searched":[87],"constraint":[89],"volatility.":[92],"Its":[93],"model":[94,117],"was":[95,120],"constructed":[96],"solution":[98],"suggested.":[99],"experimental":[101],"investigations":[102],"models":[108],"were":[109],"carried":[110],"out":[111],"comparison":[113],"with":[114],"classical":[115],"by":[118],"Markowitz":[119],"performed.":[121]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-04-02T15:55:50.835912","created_date":"2025-10-10T00:00:00"}