{"id":"https://openalex.org/W3149552519","doi":"https://doi.org/10.1109/wsc.2008.4736123","title":"Response surface methodology for simulating hedging and trading strategies","display_name":"Response surface methodology for simulating hedging and trading strategies","publication_year":2008,"publication_date":"2008-12-01","ids":{"openalex":"https://openalex.org/W3149552519","doi":"https://doi.org/10.1109/wsc.2008.4736123","mag":"3149552519"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2008.4736123","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2008.4736123","pdf_url":null,"source":{"id":"https://openalex.org/S4363608392","display_name":"2008 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 Winter Simulation Conference","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/A5038716039","display_name":"R. Evren Baysal","orcid":null},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"R. Evren Baysal","raw_affiliation_strings":["Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA"],"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA","institution_ids":["https://openalex.org/I111979921"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026731126","display_name":"Barry L. Nelson","orcid":"https://orcid.org/0000-0002-1325-2624"},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Barry L. Nelson","raw_affiliation_strings":["Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA"],"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA","institution_ids":["https://openalex.org/I111979921"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058771477","display_name":"Jeremy Staum","orcid":"https://orcid.org/0000-0001-6163-2624"},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jeremy Staum","raw_affiliation_strings":["Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA"],"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, IL, USA","institution_ids":["https://openalex.org/I111979921"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5038716039"],"corresponding_institution_ids":["https://openalex.org/I111979921"],"apc_list":null,"apc_paid":null,"fwci":0.8255,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.70650264,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"629","last_page":"637"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11195","display_name":"Simulation Techniques and Applications","score":0.998199999332428,"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/T11195","display_name":"Simulation Techniques and Applications","score":0.998199999332428,"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":0.9979000091552734,"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":0.9972000122070312,"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":0.7141361236572266},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6835886240005493},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.594704806804657},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5229740142822266},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.4976549446582794},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.43995437026023865},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.4310178756713867},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.42198699712753296},{"id":"https://openalex.org/keywords/path","display_name":"Path (computing)","score":0.41325074434280396},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.39638006687164307},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.29093483090400696},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2086406946182251},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.18705973029136658},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.14234721660614014},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.07257747650146484}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7141361236572266},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6835886240005493},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.594704806804657},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5229740142822266},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.4976549446582794},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.43995437026023865},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.4310178756713867},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.42198699712753296},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.41325074434280396},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.39638006687164307},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.29093483090400696},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2086406946182251},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18705973029136658},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.14234721660614014},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.07257747650146484},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2008.4736123","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2008.4736123","pdf_url":null,"source":{"id":"https://openalex.org/S4363608392","display_name":"2008 Winter Simulation Conference","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 Winter Simulation Conference","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W55912154","https://openalex.org/W1491502200","https://openalex.org/W1602773783","https://openalex.org/W3125471937","https://openalex.org/W3147291860","https://openalex.org/W4212971842","https://openalex.org/W4213283575","https://openalex.org/W4249753629"],"related_works":["https://openalex.org/W2124216144","https://openalex.org/W1954718630","https://openalex.org/W4301009730","https://openalex.org/W2107471019","https://openalex.org/W3184140859","https://openalex.org/W3096123305","https://openalex.org/W2537126811","https://openalex.org/W4210280125","https://openalex.org/W2162097421","https://openalex.org/W2041730429"],"abstract_inverted_index":{"Suppose":[0],"that":[1,81,84,112],"one":[2],"wishes":[3],"to":[4,23,36,96,106,127,135],"evaluate":[5],"the":[6,38,46],"distribution":[7],"of":[8,26,31,59,94,142],"profit":[9],"and":[10,35,100],"loss":[11],"(P&L)":[12],"resulting":[13,39],"from":[14],"a":[15,72,87,117,140],"dynamic":[16],"trading":[17,47],"strategy.":[18],"A":[19],"straightforward":[20],"method":[21],"is":[22,125],"simulate":[24],"thousands":[25],"paths":[27],"(i.e.,":[28],"time":[29,43,65,82],"series)":[30],"relevant":[32],"financial":[33,144],"variables":[34],"track":[37],"P&L":[40],"at":[41,44,62,80],"every":[42,63,67],"which":[45],"strategy":[48],"rebalances":[49],"its":[50],"portfolio.":[51],"In":[52],"many":[53,92],"cases,":[54],"this":[55],"requires":[56],"numerical":[57],"computation":[58],"portfolio":[60,98,137],"weights":[61,138],"rebalancing":[64],"on":[66,77,83],"path,":[68],"for":[69],"example,":[70],"by":[71,132],"nested":[73],"simulation":[74,89,120],"performed":[75],"conditional":[76],"market":[78],"conditions":[79],"path.":[85],"Such":[86],"two-level":[88],"could":[90],"involve":[91],"millions":[93],"simulations":[95,131],"compute":[97],"weights,":[99],"thus":[101],"be":[102],"too":[103],"computationally":[104],"expensive":[105],"attain":[107],"high":[108],"accuracy.":[109],"We":[110],"show":[111],"response":[113],"surface":[114],"methodology":[115],"enables":[116],"more":[118],"efficient":[119],"procedure:":[121],"in":[122],"particular,":[123],"it":[124],"possible":[126],"do":[128],"far":[129],"fewer":[130],"using":[133],"kriging":[134],"model":[136],"as":[139],"function":[141],"underlying":[143],"variables.":[145]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-25T21:42:39.735039","created_date":"2025-10-10T00:00:00"}
