{"id":"https://openalex.org/W2094780136","doi":"https://doi.org/10.1109/icca.2013.6565128","title":"Dynamic mean-CVaR portfolio optimization in continuous-time","display_name":"Dynamic mean-CVaR portfolio optimization in continuous-time","publication_year":2013,"publication_date":"2013-06-01","ids":{"openalex":"https://openalex.org/W2094780136","doi":"https://doi.org/10.1109/icca.2013.6565128","mag":"2094780136"},"language":"en","primary_location":{"id":"doi:10.1109/icca.2013.6565128","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2013.6565128","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 10th IEEE International Conference on Control and Automation (ICCA)","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/A5025795563","display_name":"Jianjun Gao","orcid":"https://orcid.org/0000-0002-7824-5919"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jianjun Gao","raw_affiliation_strings":["Department of Automation, Shanghai Jiao Tong University, Shanghai, China","[Department of Automation, Shanghai Jiao Tong University, Shanghai, China.]"],"affiliations":[{"raw_affiliation_string":"Department of Automation, Shanghai Jiao Tong University, Shanghai, China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"[Department of Automation, Shanghai Jiao Tong University, Shanghai, China.]","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101562205","display_name":"Yan Xiong","orcid":"https://orcid.org/0000-0001-9503-0541"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yan Xiong","raw_affiliation_strings":["Department of Automation, Shanghai Jiao Tong University, Shanghai, China","[Department of Automation, Shanghai Jiao Tong University, Shanghai, China.]"],"affiliations":[{"raw_affiliation_string":"Department of Automation, Shanghai Jiao Tong University, Shanghai, China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"[Department of Automation, Shanghai Jiao Tong University, Shanghai, China.]","institution_ids":["https://openalex.org/I183067930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5025795563"],"corresponding_institution_ids":["https://openalex.org/I183067930"],"apc_list":null,"apc_paid":null,"fwci":0.8219,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.78267923,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2","issue":null,"first_page":"1550","last_page":"1555"},"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9987000226974487,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9919999837875366,"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/cvar","display_name":"CVAR","score":0.9964271187782288},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.8110154867172241},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7425543069839478},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5986520648002625},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.5524837970733643},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.46409645676612854},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4484331011772156},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.4293380081653595},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4292903542518616},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41532188653945923},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.28538617491722107},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19352513551712036}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9964271187782288},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.8110154867172241},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7425543069839478},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5986520648002625},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.5524837970733643},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.46409645676612854},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4484331011772156},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4293380081653595},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4292903542518616},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41532188653945923},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.28538617491722107},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19352513551712036}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icca.2013.6565128","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2013.6565128","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2013 10th IEEE International Conference on Control and Automation (ICCA)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W1647779468","https://openalex.org/W1878329713","https://openalex.org/W1988916339","https://openalex.org/W1990441260","https://openalex.org/W2002736235","https://openalex.org/W2002788332","https://openalex.org/W2005158847","https://openalex.org/W2006776755","https://openalex.org/W2016864253","https://openalex.org/W2019291268","https://openalex.org/W2042775870","https://openalex.org/W2118856090","https://openalex.org/W2132621139","https://openalex.org/W2141858721","https://openalex.org/W2154756406","https://openalex.org/W2161903344","https://openalex.org/W2163932646","https://openalex.org/W2922048356","https://openalex.org/W3124407081","https://openalex.org/W3124574885","https://openalex.org/W4236670843"],"related_works":["https://openalex.org/W2232143283","https://openalex.org/W1647779468","https://openalex.org/W2348408918","https://openalex.org/W2153830644","https://openalex.org/W2499931925","https://openalex.org/W2078547130","https://openalex.org/W2002736235","https://openalex.org/W1647745598","https://openalex.org/W2016139756","https://openalex.org/W3124086738"],"abstract_inverted_index":{"The":[0],"conditional":[1],"value-at-risk(CVaR)":[2],"is":[3,58,79],"defined":[4],"as":[5,94,96,126],"the":[6,10,36,40,49,66,71,77,83,89,92,101,106,118,122,127,131,135,140],"expected":[7,102],"value":[8],"of":[9,18,39,70,91,100,109,130],"tail":[11],"distribution":[12],"exceeding":[13],"Value-at-Risk(VaR).":[14],"As":[15],"a":[16,111,150],"kind":[17],"risk":[19],"measure,":[20],"CVaR":[21,90],"recently":[22],"receives":[23],"much":[24],"attention":[25],"from":[26],"both":[27],"academic":[28],"field":[29],"and":[30,144],"financial":[31],"industry.":[32],"However,":[33],"due":[34],"to":[35,48,81,87],"tractability,":[37],"most":[38],"studies":[41],"on":[42],"mean-CVaR":[43,72,145],"portfolio":[44,51,56,68,73,93,142],"optimization":[45],"are":[46],"restricted":[47],"static":[50],"analysis,":[52],"where":[53],"only":[54],"buy-and-hold":[55],"policy":[57,69,85,143],"computed":[59],"numerically.":[60],"In":[61],"this":[62],"paper,":[63],"we":[64,116,138],"study":[65],"dynamic":[67],"model,":[74,115],"in":[75,113],"which":[76],"investor":[78],"allowed":[80],"adjust":[82],"investment":[84],"dynamically":[86],"minimize":[88],"well":[95],"keep":[97],"certain":[98],"level":[99,125],"return.":[103],"On":[104],"recognizing":[105],"ill-posed":[107],"nature":[108],"such":[110,149],"problem":[112],"continuous-time":[114],"modify":[117],"model":[119],"by":[120],"imposing":[121],"limited":[123],"funding":[124],"upper":[128],"bound":[129],"wealth.":[132],"By":[133],"using":[134],"martingale":[136],"approach,":[137],"develop":[139],"explicit":[141],"efficient":[146],"frontier":[147],"for":[148],"problem.":[151]},"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}