{"id":"https://openalex.org/W2888855475","doi":"https://doi.org/10.1109/ssp.2018.8450686","title":"Robust Semi-Variance Downside Risk Portfolio Problems: A Convex Optimization Approach","display_name":"Robust Semi-Variance Downside Risk Portfolio Problems: A Convex Optimization Approach","publication_year":2018,"publication_date":"2018-06-01","ids":{"openalex":"https://openalex.org/W2888855475","doi":"https://doi.org/10.1109/ssp.2018.8450686","mag":"2888855475"},"language":"en","primary_location":{"id":"doi:10.1109/ssp.2018.8450686","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ssp.2018.8450686","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE Statistical Signal Processing Workshop (SSP)","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/A5024262590","display_name":"Maobiao Yang","orcid":null},"institutions":[{"id":"https://openalex.org/I139024713","display_name":"Guangdong University of Technology","ror":"https://ror.org/04azbjn80","country_code":"CN","type":"education","lineage":["https://openalex.org/I139024713"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Maobiao Yang","raw_affiliation_strings":["School of Information Engineering, Guangdong University of Technology, University Town, Guangzhou, Guangdong, China"],"affiliations":[{"raw_affiliation_string":"School of Information Engineering, Guangdong University of Technology, University Town, Guangzhou, Guangdong, China","institution_ids":["https://openalex.org/I139024713"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074751212","display_name":"Yongwei Huang","orcid":"https://orcid.org/0000-0002-7345-3524"},"institutions":[{"id":"https://openalex.org/I139024713","display_name":"Guangdong University of Technology","ror":"https://ror.org/04azbjn80","country_code":"CN","type":"education","lineage":["https://openalex.org/I139024713"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yongwei Huang","raw_affiliation_strings":["School of Information Engineering, Guangdong University of Technology, University Town, Guangzhou, Guangdong, China"],"affiliations":[{"raw_affiliation_string":"School of Information Engineering, Guangdong University of Technology, University Town, Guangzhou, Guangdong, China","institution_ids":["https://openalex.org/I139024713"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5024262590"],"corresponding_institution_ids":["https://openalex.org/I139024713"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.11160157,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"9","issue":null,"first_page":"781","last_page":"785"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"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":0.9998999834060669,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9868999719619751,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean 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/T10136","display_name":"Statistical Methods and Inference","score":0.9763000011444092,"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/portfolio-optimization","display_name":"Portfolio optimization","score":0.8498956561088562},{"id":"https://openalex.org/keywords/downside-risk","display_name":"Downside risk","score":0.7530286312103271},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.721853494644165},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.6437851786613464},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.6000386476516724},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.5545969605445862},{"id":"https://openalex.org/keywords/solver","display_name":"Solver","score":0.5369780659675598},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5336053967475891},{"id":"https://openalex.org/keywords/convex-optimization","display_name":"Convex optimization","score":0.4962196946144104},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.46035903692245483},{"id":"https://openalex.org/keywords/ellipsoid","display_name":"Ellipsoid","score":0.4507276713848114},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4489816129207611},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4160638451576233},{"id":"https://openalex.org/keywords/regular-polygon","display_name":"Regular polygon","score":0.2603148818016052},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10426807403564453}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.8498956561088562},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.7530286312103271},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.721853494644165},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.6437851786613464},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.6000386476516724},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5545969605445862},{"id":"https://openalex.org/C2778770139","wikidata":"https://www.wikidata.org/wiki/Q1966904","display_name":"Solver","level":2,"score":0.5369780659675598},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5336053967475891},{"id":"https://openalex.org/C157972887","wikidata":"https://www.wikidata.org/wiki/Q463359","display_name":"Convex optimization","level":3,"score":0.4962196946144104},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46035903692245483},{"id":"https://openalex.org/C57489055","wikidata":"https://www.wikidata.org/wiki/Q190046","display_name":"Ellipsoid","level":2,"score":0.4507276713848114},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4489816129207611},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4160638451576233},{"id":"https://openalex.org/C112680207","wikidata":"https://www.wikidata.org/wiki/Q714886","display_name":"Regular polygon","level":2,"score":0.2603148818016052},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10426807403564453},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C1276947","wikidata":"https://www.wikidata.org/wiki/Q333","display_name":"Astronomy","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/ssp.2018.8450686","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ssp.2018.8450686","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2018 IEEE Statistical Signal Processing Workshop (SSP)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.44999998807907104,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1503221585","https://openalex.org/W1568307856","https://openalex.org/W1968355947","https://openalex.org/W1973074195","https://openalex.org/W2015856032","https://openalex.org/W2069099760","https://openalex.org/W2101720440","https://openalex.org/W2313727555","https://openalex.org/W2414808552","https://openalex.org/W4250589301","https://openalex.org/W4251616545"],"related_works":["https://openalex.org/W1800955719","https://openalex.org/W2955413075","https://openalex.org/W3138254426","https://openalex.org/W2091892261","https://openalex.org/W3209018772","https://openalex.org/W2370463667","https://openalex.org/W4384826939","https://openalex.org/W1975819111","https://openalex.org/W1565524179","https://openalex.org/W2158771116"],"abstract_inverted_index":{"Consider":[0],"a":[1,37,41,53,65,87,96],"robust":[2,54,77,111,148],"portfolio":[3,58,80,112],"optimization":[4,89,106,125],"problem":[5,47,81,90,113],"which":[6,39],"minimizes":[7],"the":[8,20,26,31,46,61,70,76,101,109,137,141],"worst-case":[9],"expected":[10],"disutility":[11,32],"(the":[12],"negative":[13],"utility)":[14],"function":[15,33],"to":[16,135],"account":[17],"for":[18],"both":[19],"uncertain":[21,27],"nonnegative":[22,71],"probability":[23],"distributions":[24],"and":[25,45,73,117],"returns.":[28],"In":[29],"particular,":[30],"is":[34,40,49,114],"adopted":[35],"as":[36,52],"semi-variance":[38,55],"wellknowndownside":[42],"risk":[43,57,79],"measure,":[44],"therefore":[48],"also":[50],"termed":[51],"downside":[56,78],"problem.":[59],"When":[60],"uncertainty":[62],"sets":[63],"are":[64,133],"class":[66],"of":[67,69,104,140],"intersections":[68],"orthants":[72],"ellipsoidal":[74],"sets,":[75],"can":[82,118],"be":[83,119],"equivalently":[84],"transformed":[85],"into":[86],"finite":[88],"in":[91],"an":[92,123,145],"explicit":[93],"form,":[94],"namely":[95],"second-order":[97],"cone":[98],"program,":[99],"via":[100],"strong":[102],"duality":[103],"convex":[105,124],"theory.":[107],"Therefore":[108],"new":[110],"tractable":[115],"computationally":[116],"solved":[120],"efficiently":[121],"by":[122],"solver.":[126],"To":[127],"validate":[128],"our":[129],"results,":[130],"simulation":[131],"examples":[132],"presented":[134],"demonstrate":[136],"performance":[138],"gains":[139],"proposed":[142],"method":[143],"over":[144],"existing":[146],"conservative":[147],"design.":[149]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
