{"id":"https://openalex.org/W2884458511","doi":"https://doi.org/10.1109/tsmc.2018.2852651","title":"Reweighted Price Relative Tracking System for Automatic Portfolio Optimization","display_name":"Reweighted Price Relative Tracking System for Automatic Portfolio Optimization","publication_year":2018,"publication_date":"2018-07-16","ids":{"openalex":"https://openalex.org/W2884458511","doi":"https://doi.org/10.1109/tsmc.2018.2852651","mag":"2884458511"},"language":"en","primary_location":{"id":"doi:10.1109/tsmc.2018.2852651","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tsmc.2018.2852651","pdf_url":null,"source":{"id":"https://openalex.org/S4210209078","display_name":"IEEE Transactions on Systems Man and Cybernetics Systems","issn_l":"2168-2216","issn":["2168-2216","2168-2232"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Systems, Man, and Cybernetics: Systems","raw_type":"journal-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/A5052469496","display_name":"Zhao\u2010Rong Lai","orcid":"https://orcid.org/0000-0002-7631-8512"},"institutions":[{"id":"https://openalex.org/I159948400","display_name":"Jinan University","ror":"https://ror.org/02xe5ns62","country_code":"CN","type":"education","lineage":["https://openalex.org/I159948400"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhao-Rong Lai","raw_affiliation_strings":["College of Information Science and Technology, Jinan University, Guangzhou, China"],"raw_orcid":"https://orcid.org/0000-0002-7631-8512","affiliations":[{"raw_affiliation_string":"College of Information Science and Technology, Jinan University, Guangzhou, China","institution_ids":["https://openalex.org/I159948400"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051396252","display_name":"Peiyi Yang","orcid":"https://orcid.org/0000-0003-1094-004X"},"institutions":[{"id":"https://openalex.org/I157773358","display_name":"Sun Yat-sen University","ror":"https://ror.org/0064kty71","country_code":"CN","type":"education","lineage":["https://openalex.org/I157773358"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Pei-Yi Yang","raw_affiliation_strings":["School of Mathematics, Sun Yat-sen University, Guangzhou, China"],"raw_orcid":"https://orcid.org/0000-0003-1094-004X","affiliations":[{"raw_affiliation_string":"School of Mathematics, Sun Yat-sen University, Guangzhou, China","institution_ids":["https://openalex.org/I157773358"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5067489790","display_name":"Liangda Fang","orcid":"https://orcid.org/0000-0002-6435-6570"},"institutions":[{"id":"https://openalex.org/I159948400","display_name":"Jinan University","ror":"https://ror.org/02xe5ns62","country_code":"CN","type":"education","lineage":["https://openalex.org/I159948400"]},{"id":"https://openalex.org/I5343935","display_name":"Guilin University of Electronic Technology","ror":"https://ror.org/05arjae42","country_code":"CN","type":"education","lineage":["https://openalex.org/I5343935"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Liangda Fang","raw_affiliation_strings":["College of Information Science and Technology, Jinan University, Guangzhou, China","Guangxi Key Laboratory of Trusted Software, Guilin University of Electronic Technology, Guilin, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Information Science and Technology, Jinan University, Guangzhou, China","institution_ids":["https://openalex.org/I159948400"]},{"raw_affiliation_string":"Guangxi Key Laboratory of Trusted Software, Guilin University of Electronic Technology, Guilin, China","institution_ids":["https://openalex.org/I5343935"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101749840","display_name":"Xiaotian Wu","orcid":"https://orcid.org/0000-0002-4940-5645"},"institutions":[{"id":"https://openalex.org/I159948400","display_name":"Jinan University","ror":"https://ror.org/02xe5ns62","country_code":"CN","type":"education","lineage":["https://openalex.org/I159948400"]},{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I200845125","display_name":"Nanjing University of Information Science and Technology","ror":"https://ror.org/02y0rxk19","country_code":"CN","type":"education","lineage":["https://openalex.org/I200845125"]},{"id":"https://openalex.org/I4210156404","display_name":"Institute of Information Engineering","ror":"https://ror.org/04r53se39","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210156404"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaotian Wu","raw_affiliation_strings":["College of Information Science and Technology, Jinan University, Guangzhou, China","Jiangsu Engineering Center of Network Monitoring, Nanjing University of Information Science and Technology, Nanjing, China","State Key Laboratory of Information Security, Institute of Information Engineering, Chinese Academy of Sciences, Beijing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Information Science and Technology, Jinan University, Guangzhou, China","institution_ids":["https://openalex.org/I159948400"]},{"raw_affiliation_string":"Jiangsu Engineering Center of Network Monitoring, Nanjing University of Information Science and Technology, Nanjing, China","institution_ids":["https://openalex.org/I200845125"]},{"raw_affiliation_string":"State Key Laboratory of Information Security, Institute of Information Engineering, Chinese Academy of Sciences, Beijing, China","institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210156404"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":6,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.0982,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.79876898,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"50","issue":"11","first_page":"4349","last_page":"4361"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9975000023841858,"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"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9975000023841858,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9947999715805054,"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/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9947999715805054,"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/portfolio","display_name":"Portfolio","score":0.7200288772583008},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7066799402236938},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.6427772045135498},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6318665146827698},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49448108673095703},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3997809886932373},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.3343971371650696},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.18430784344673157},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15111342072486877},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.14158523082733154}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7200288772583008},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7066799402236938},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.6427772045135498},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6318665146827698},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49448108673095703},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3997809886932373},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.3343971371650696},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.18430784344673157},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15111342072486877},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.14158523082733154},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/tsmc.2018.2852651","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tsmc.2018.2852651","pdf_url":null,"source":{"id":"https://openalex.org/S4210209078","display_name":"IEEE Transactions on Systems Man and Cybernetics Systems","issn_l":"2168-2216","issn":["2168-2216","2168-2232"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Systems, Man, and Cybernetics: Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2272330243","display_name":null,"funder_award_id":"88016534","funder_id":"https://openalex.org/F4320322292","funder_display_name":"Jinan University"},{"id":"https://openalex.org/G3035785233","display_name":null,"funder_award_id":"61603152","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3548762637","display_name":null,"funder_award_id":"61703182","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3594058473","display_name":null,"funder_award_id":"88016653","funder_id":"https://openalex.org/F4320322292","funder_display_name":"Jinan University"},{"id":"https://openalex.org/G7676325976","display_name":null,"funder_award_id":"21617347","funder_id":"https://openalex.org/F4320335787","funder_display_name":"Fundamental Research Funds for the Central Universities"},{"id":"https://openalex.org/G8004158545","display_name":null,"funder_award_id":"21617404","funder_id":"https://openalex.org/F4320335787","funder_display_name":"Fundamental Research Funds for the Central Universities"},{"id":"https://openalex.org/G8372985554","display_name":null,"funder_award_id":"61602211","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320322292","display_name":"Jinan University","ror":"https://ror.org/02xe5ns62"},{"id":"https://openalex.org/F4320327518","display_name":"Priority Academic Program Development of Jiangsu Higher Education Institutions","ror":null},{"id":"https://openalex.org/F4320335787","display_name":"Fundamental Research Funds for the Central Universities","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W1552949382","https://openalex.org/W1664920104","https://openalex.org/W1740157579","https://openalex.org/W1971432209","https://openalex.org/W1978259121","https://openalex.org/W1995236272","https://openalex.org/W1995629675","https://openalex.org/W2005556724","https://openalex.org/W2011030315","https://openalex.org/W2014583745","https://openalex.org/W2019162816","https://openalex.org/W2027264865","https://openalex.org/W2029056003","https://openalex.org/W2029480990","https://openalex.org/W2034489173","https://openalex.org/W2040324983","https://openalex.org/W2040759104","https://openalex.org/W2049386744","https://openalex.org/W2068643490","https://openalex.org/W2072568687","https://openalex.org/W2083148578","https://openalex.org/W2084772805","https://openalex.org/W2085148727","https://openalex.org/W2086965238","https://openalex.org/W2099111195","https://openalex.org/W2106052345","https://openalex.org/W2107993500","https://openalex.org/W2131177033","https://openalex.org/W2158076035","https://openalex.org/W2158100334","https://openalex.org/W2168386785","https://openalex.org/W2170556543","https://openalex.org/W2344698824","https://openalex.org/W2346153109","https://openalex.org/W2501033096","https://openalex.org/W2503827027","https://openalex.org/W2726899444","https://openalex.org/W2950932906","https://openalex.org/W3015581296","https://openalex.org/W3125252060","https://openalex.org/W4230661391","https://openalex.org/W4237883889","https://openalex.org/W4239488419","https://openalex.org/W4241584625","https://openalex.org/W4254313632","https://openalex.org/W4385795614","https://openalex.org/W6637657243"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4206877017","https://openalex.org/W4225528185","https://openalex.org/W4327779378","https://openalex.org/W2795635811"],"abstract_inverted_index":{"In":[0,18,46],"this":[1],"paper,":[2],"we":[3],"propose":[4],"a":[5,51,56],"novel":[6,52],"reweighted":[7],"price":[8,20,30],"relative":[9,31],"tracking":[10,53],"(RPRT)":[11],"system":[12,54],"for":[13],"automatic":[14],"portfolio":[15,48,79],"optimization":[16,80],"(APO).":[17],"the":[19,29,47,64,78],"prediction":[21],"stage,":[22,50],"it":[23,129],"automatically":[24,44],"assigns":[25],"separate":[26],"weights":[27,40],"to":[28,34,62,76,85],"predictions":[32],"according":[33],"each":[35],"asset's":[36],"performance,":[37],"and":[38,87,103,123,135,145],"these":[39],"will":[41],"also":[42],"be":[43],"updated.":[45],"optimizing":[49],"with":[55,100],"generalized":[57],"increasing":[58],"factor":[59],"is":[60,74,83,142],"proposed":[61],"maximize":[63],"future":[65],"wealth":[66],"of":[67],"next":[68],"period.":[69],"Besides,":[70],"an":[71,143],"efficient":[72,146],"algorithm":[73],"designed":[75],"solve":[77],"objective,":[81],"which":[82],"applicable":[84],"large-scale":[86],"time-limited":[88],"situations.":[89],"Extensive":[90],"experiments":[91],"on":[92],"six":[93],"benchmark":[94],"datasets":[95],"from":[96],"real":[97],"financial":[98],"markets":[99],"diverse":[101],"assets":[102],"different":[104],"time":[105],"spans":[106],"are":[107],"conducted.":[108],"RPRT":[109,141],"outperforms":[110],"other":[111],"state-of-the-art":[112],"systems":[113],"in":[114],"cumulative":[115],"wealth,":[116],"mean":[117],"excess":[118],"return,":[119],"annual":[120],"percentage":[121],"yield,":[122],"some":[124],"typical":[125],"risk":[126],"metrics.":[127],"Moreover,":[128],"can":[130],"withstand":[131],"considerable":[132],"transaction":[133],"costs":[134],"runs":[136],"fast.":[137],"It":[138],"indicates":[139],"that":[140],"effective":[144],"APO":[147],"system.":[148]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1}],"updated_date":"2026-07-22T07:51:19.307946","created_date":"2025-10-10T00:00:00"}