{"id":"https://openalex.org/W2897797037","doi":"https://doi.org/10.1109/fuzz-ieee.2018.8491675","title":"Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation","display_name":"Maximization of Returns under Value-at-Risk Constraints in Dynamic Fuzzy Asset Allocation","publication_year":2018,"publication_date":"2018-07-01","ids":{"openalex":"https://openalex.org/W2897797037","doi":"https://doi.org/10.1109/fuzz-ieee.2018.8491675","mag":"2897797037"},"language":"en","primary_location":{"id":"doi:10.1109/fuzz-ieee.2018.8491675","is_oa":false,"landing_page_url":"https://doi.org/10.1109/fuzz-ieee.2018.8491675","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE)","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, Kitakyushu, Japan"],"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business Administration, University of Kitakyushu, 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":0,"citation_normalized_percentile":{"value":0.12688913,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"43","issue":null,"first_page":"1","last_page":"6"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9998999834060669,"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"}},"topics":[{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9998999834060669,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.998199999332428,"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/T10050","display_name":"Multi-Criteria Decision Making","score":0.9976999759674072,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.6821058988571167},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6201809644699097},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6115548610687256},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.595568835735321},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.5744903683662415},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5624070167541504},{"id":"https://openalex.org/keywords/portfolio-allocation","display_name":"Portfolio allocation","score":0.544546902179718},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5309953689575195},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5156096816062927},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.5027129650115967},{"id":"https://openalex.org/keywords/extension","display_name":"Extension (predicate logic)","score":0.4545953571796417},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.22516897320747375},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.18908831477165222},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1275169849395752},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.0965690016746521},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.08236762881278992}],"concepts":[{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.6821058988571167},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6201809644699097},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6115548610687256},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.595568835735321},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.5744903683662415},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5624070167541504},{"id":"https://openalex.org/C2993800227","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio allocation","level":3,"score":0.544546902179718},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5309953689575195},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5156096816062927},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.5027129650115967},{"id":"https://openalex.org/C2778029271","wikidata":"https://www.wikidata.org/wiki/Q5421931","display_name":"Extension (predicate logic)","level":2,"score":0.4545953571796417},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22516897320747375},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18908831477165222},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1275169849395752},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0965690016746521},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.08236762881278992},{"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/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/fuzz-ieee.2018.8491675","is_oa":false,"landing_page_url":"https://doi.org/10.1109/fuzz-ieee.2018.8491675","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W34857672","https://openalex.org/W406138538","https://openalex.org/W751715235","https://openalex.org/W1483175286","https://openalex.org/W1488963463","https://openalex.org/W1493720638","https://openalex.org/W1595920222","https://openalex.org/W1968113078","https://openalex.org/W1976658031","https://openalex.org/W1977914365","https://openalex.org/W1979366876","https://openalex.org/W2007551252","https://openalex.org/W2009721924","https://openalex.org/W2016101780","https://openalex.org/W2037476906","https://openalex.org/W2039796074","https://openalex.org/W2148083797","https://openalex.org/W2148175544","https://openalex.org/W2166134957","https://openalex.org/W2277886313","https://openalex.org/W2912565176","https://openalex.org/W4211007335","https://openalex.org/W4254535626","https://openalex.org/W6613986365","https://openalex.org/W6629595341","https://openalex.org/W6635602977"],"related_works":["https://openalex.org/W175006096","https://openalex.org/W2086136595","https://openalex.org/W1518635954","https://openalex.org/W3092334672","https://openalex.org/W2599556035","https://openalex.org/W1590308505","https://openalex.org/W2150542653","https://openalex.org/W3116776104","https://openalex.org/W2058868784","https://openalex.org/W2067733412"],"abstract_inverted_index":{"Dynamic":[0],"portfolio":[1,19],"allocation":[2],"is":[3,27,47],"discussed":[4],"in":[5],"asset":[6],"management":[7],"with":[8,21],"fuzziness.":[9],"By":[10,29],"perception-based":[11],"extension":[12],"for":[13,40],"fuzzy":[14,24],"random":[15,25],"variables,":[16],"a":[17],"dynamic":[18,30],"model":[20],"value-at-risks":[22],"of":[23],"variables":[26],"introduced.":[28],"programming":[31],"and":[32],"mathematical":[33],"programming,":[34],"this":[35],"paper":[36],"derives":[37],"analytical":[38],"solutions":[39],"the":[41,51],"optimization":[42],"problem.":[43],"A":[44],"numerical":[45],"example":[46],"given":[48],"to":[49],"discuss":[50],"results.":[52]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}