{"id":"https://openalex.org/W1555744992","doi":"https://doi.org/10.1109/icsmc.2002.1175641","title":"Fractional programming model for portfolio with probability criterion","display_name":"Fractional programming model for portfolio with probability criterion","publication_year":2003,"publication_date":"2003-08-27","ids":{"openalex":"https://openalex.org/W1555744992","doi":"https://doi.org/10.1109/icsmc.2002.1175641","mag":"1555744992"},"language":"en","primary_location":{"id":"doi:10.1109/icsmc.2002.1175641","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icsmc.2002.1175641","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE International Conference on Systems, Man and Cybernetics","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/A5002044146","display_name":"Wansheng Tang","orcid":"https://orcid.org/0000-0002-8289-7872"},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wansheng Tang","raw_affiliation_strings":["Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","Institute. of Syst. Eng., Tianjin Univ., China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","institution_ids":["https://openalex.org/I162868743"]},{"raw_affiliation_string":"Institute. of Syst. Eng., Tianjin Univ., China","institution_ids":["https://openalex.org/I162868743"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5006041868","display_name":"Yanqing Wang","orcid":"https://orcid.org/0000-0002-5961-0482"},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yanqing Wang","raw_affiliation_strings":["Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","Institute. of Syst. Eng., Tianjin Univ., China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","institution_ids":["https://openalex.org/I162868743"]},{"raw_affiliation_string":"Institute. of Syst. Eng., Tianjin Univ., China","institution_ids":["https://openalex.org/I162868743"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5110271227","display_name":"Jianfeng Liang","orcid":null},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jianfeng Liang","raw_affiliation_strings":["Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","Institute. of Syst. Eng., Tianjin Univ., China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Systems Engineering School of Management, Tianjin University, TJU, Tianjin, China","institution_ids":["https://openalex.org/I162868743"]},{"raw_affiliation_string":"Institute. of Syst. Eng., Tianjin Univ., China","institution_ids":["https://openalex.org/I162868743"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I162868743"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":"vol.6","issue":null,"first_page":"4","last_page":"4"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9984999895095825,"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":0.9984999895095825,"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/T12709","display_name":"Optimization and Mathematical Programming","score":0.9957000017166138,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems 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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9743000268936157,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.746624231338501},{"id":"https://openalex.org/keywords/fractional-programming","display_name":"Fractional programming","score":0.6332120895385742},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6199967265129089},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.5843464732170105},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5164197087287903},{"id":"https://openalex.org/keywords/probability-distribution","display_name":"Probability distribution","score":0.5095555782318115},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.4990520477294922},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.47064632177352905},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.44514885544776917},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3589646816253662},{"id":"https://openalex.org/keywords/nonlinear-programming","display_name":"Nonlinear programming","score":0.22992083430290222},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.09791737794876099},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.0950944721698761},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08420887589454651}],"concepts":[{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.746624231338501},{"id":"https://openalex.org/C169069869","wikidata":"https://www.wikidata.org/wiki/Q5477546","display_name":"Fractional programming","level":4,"score":0.6332120895385742},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6199967265129089},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.5843464732170105},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5164197087287903},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.5095555782318115},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.4990520477294922},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.47064632177352905},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.44514885544776917},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3589646816253662},{"id":"https://openalex.org/C115527620","wikidata":"https://www.wikidata.org/wiki/Q769909","display_name":"Nonlinear programming","level":3,"score":0.22992083430290222},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09791737794876099},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0950944721698761},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08420887589454651},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icsmc.2002.1175641","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icsmc.2002.1175641","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE International Conference on Systems, Man and Cybernetics","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":4,"referenced_works":["https://openalex.org/W1586313000","https://openalex.org/W2111951371","https://openalex.org/W2612487376","https://openalex.org/W4400203474"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W4289521043","https://openalex.org/W4212928424","https://openalex.org/W2367990330","https://openalex.org/W2221832056","https://openalex.org/W2184147879","https://openalex.org/W3114011295","https://openalex.org/W2562692917","https://openalex.org/W2151303070","https://openalex.org/W2936759444"],"abstract_inverted_index":{"The":[0,13,43],"problem":[1,19,108],"of":[2,32,47,60,123],"portfolio":[3,34,107],"selection":[4],"with":[5,109],"probability":[6,27,110],"criterion":[7,111],"is":[8,20,23,35,51,77,112,118,128],"investigated":[9],"in":[10,70],"this":[11,18,92,95],"paper.":[12],"stochastic":[14,49],"programming":[15,50,75],"model":[16,46,76],"for":[17,90,104],"established.":[21],"It":[22],"to":[24],"maximize":[25],"the":[26,29,33,48,54,57,61,67,71,82,106,121,124],"that":[28,56],"return":[30,58],"rate":[31,59],"no":[36,87],"less":[37],"than":[38],"a":[39,79,97,101],"given":[40,52,119],"expect":[41],"rate.":[42],"deterministic":[44,72],"equivalent":[45,73],"under":[53],"condition":[55],"securities":[62],"has":[63],"normal":[64],"distribution.":[65],"Since":[66],"objective":[68],"function":[69],"fractional":[74],"not":[78],"convex":[80],"one,":[81],"traditional":[83],"optimization":[84],"techniques":[85],"are":[86],"longer":[88],"valid":[89],"solving":[91,105,126],"problem.":[93],"In":[94],"paper,":[96],"method":[98,127],"based":[99],"on":[100],"genetic":[102],"algorithm":[103],"proposed.":[113],"Finally,":[114],"an":[115],"illustrative":[116],"example":[117],"and":[120],"effectiveness":[122],"proposed":[125],"shown.":[129]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}
