{"id":"https://openalex.org/W1975819111","doi":"https://doi.org/10.1109/icca.2014.6870897","title":"Continuous-time mean-variance portfolio optimization with Safety-First Principle","display_name":"Continuous-time mean-variance portfolio optimization with Safety-First Principle","publication_year":2014,"publication_date":"2014-06-01","ids":{"openalex":"https://openalex.org/W1975819111","doi":"https://doi.org/10.1109/icca.2014.6870897","mag":"1975819111"},"language":"en","primary_location":{"id":"doi:10.1109/icca.2014.6870897","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2014.6870897","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"11th IEEE International Conference on Control & 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/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":true,"raw_author_name":"Yan Xiong","raw_affiliation_strings":["Department of Automation, Shanghai Jiaotong University, Shanghai, P. R. China","Department of Automation, Shanghai Jiaotong University, Shanghai China"],"affiliations":[{"raw_affiliation_string":"Department of Automation, Shanghai Jiaotong University, Shanghai, P. R. China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"Department of Automation, Shanghai Jiaotong University, Shanghai China","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"last","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":false,"raw_author_name":"Jianjun Gao","raw_affiliation_strings":["Department of Automation, Shanghai Jiaotong University, Shanghai, P. R. China","Department of Automation, Shanghai Jiaotong University, Shanghai China"],"affiliations":[{"raw_affiliation_string":"Department of Automation, Shanghai Jiaotong University, Shanghai, P. R. China","institution_ids":["https://openalex.org/I183067930"]},{"raw_affiliation_string":"Department of Automation, Shanghai Jiaotong University, Shanghai China","institution_ids":["https://openalex.org/I183067930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101562205"],"corresponding_institution_ids":["https://openalex.org/I183067930"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.09475975,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"54","issue":null,"first_page":"66","last_page":"71"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"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":0.9997000098228455,"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":0.9983999729156494,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.991599977016449,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"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/downside-risk","display_name":"Downside risk","score":0.8229585886001587},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.8174962401390076},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7059460282325745},{"id":"https://openalex.org/keywords/spectral-risk-measure","display_name":"Spectral risk measure","score":0.5768413543701172},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.5227479934692383},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49854445457458496},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4983181953430176},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4866391122341156},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.4535289406776428},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.4526788890361786},{"id":"https://openalex.org/keywords/post-modern-portfolio-theory","display_name":"Post-modern portfolio theory","score":0.445246160030365},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.387102335691452},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3465602993965149},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.3420094847679138},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.19777047634124756},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12754887342453003},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08792126178741455}],"concepts":[{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.8229585886001587},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.8174962401390076},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7059460282325745},{"id":"https://openalex.org/C69257216","wikidata":"https://www.wikidata.org/wiki/Q7575204","display_name":"Spectral risk measure","level":4,"score":0.5768413543701172},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.5227479934692383},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49854445457458496},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4983181953430176},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4866391122341156},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4535289406776428},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4526788890361786},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.445246160030365},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.387102335691452},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3465602993965149},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.3420094847679138},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.19777047634124756},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12754887342453003},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08792126178741455},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icca.2014.6870897","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icca.2014.6870897","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"11th IEEE International Conference on Control & Automation (ICCA)","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":20,"referenced_works":["https://openalex.org/W1497980393","https://openalex.org/W1647779468","https://openalex.org/W1980314087","https://openalex.org/W1988916339","https://openalex.org/W2002788332","https://openalex.org/W2011806243","https://openalex.org/W2042633848","https://openalex.org/W2082568669","https://openalex.org/W2091892261","https://openalex.org/W2120686807","https://openalex.org/W2132621139","https://openalex.org/W2161903344","https://openalex.org/W2170206178","https://openalex.org/W2888699453","https://openalex.org/W3123552065","https://openalex.org/W3123829977","https://openalex.org/W3124407081","https://openalex.org/W3124574885","https://openalex.org/W4236670843","https://openalex.org/W6753571467"],"related_works":["https://openalex.org/W2124727094","https://openalex.org/W106368441","https://openalex.org/W2564545589","https://openalex.org/W2380305602","https://openalex.org/W3015794601","https://openalex.org/W4361231009","https://openalex.org/W2367990330","https://openalex.org/W1825854501","https://openalex.org/W2006574308","https://openalex.org/W4283326646"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"the":[3,15,18,33,36,48,54,58,63,77,87,92,100,106,120,124],"portfolio":[4,29,59,102,125],"optimization":[5,30],"problem":[6,75],"with":[7],"multiple":[8],"risk":[9,25,56,122],"measures.":[10],"More":[11],"specifically,":[12],"we":[13,90],"use":[14],"variance":[16],"and":[17,98],"Safety":[19],"First":[20],"Principle(SFP)":[21],"as":[22],"a":[23,74],"combined":[24],"measure":[26],"in":[27,47,118],"mean-risk":[28],"model.":[31,126],"As":[32],"SFP":[34,46],"measures":[35],"probability":[37],"that":[38],"random":[39],"variable":[40],"falls":[41],"below":[42],"certain":[43],"level,":[44],"combining":[45],"mean-variance":[49],"formulation":[50],"helps":[51],"to":[52,62,71,95],"control":[53,80],"downside":[55,121],"of":[57,65,86,115,123],"return.":[60],"Due":[61],"complexity":[64],"such":[66,73],"problem,":[67],"it":[68],"is":[69],"difficult":[70],"solve":[72],"by":[76,104],"traditional":[78],"stochastic":[79],"approach":[81],"directly.":[82],"Under":[83],"some":[84],"assumptions":[85],"market":[88,94],"structure,":[89],"transform":[91],"incomplete":[93],"complete":[96],"one":[97],"derive":[99],"analytical":[101],"policy":[103],"using":[105],"martingale":[107],"approach.":[108],"The":[109],"simulation":[110],"results":[111],"exhibit":[112],"prominent":[113],"feature":[114],"our":[116],"model":[117],"controlling":[119]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}