{"id":"https://openalex.org/W4248781734","doi":"https://doi.org/10.1109/wsc.2013.6721483","title":"Stochastic root finding for optimized certainty equivalents","display_name":"Stochastic root finding for optimized certainty equivalents","publication_year":2013,"publication_date":"2013-12-01","ids":{"openalex":"https://openalex.org/W4248781734","doi":"https://doi.org/10.1109/wsc.2013.6721483"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2013.6721483","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2013.6721483","pdf_url":null,"source":{"id":"https://openalex.org/S4363607809","display_name":"2013 Winter Simulations Conference (WSC)","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":"2013 Winter Simulations Conference (WSC)","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/A5017310857","display_name":"Anna-Maria Hamm","orcid":null},"institutions":[{"id":"https://openalex.org/I114112103","display_name":"Leibniz University Hannover","ror":"https://ror.org/0304hq317","country_code":"DE","type":"education","lineage":["https://openalex.org/I114112103"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Anna-Maria Hamm","raw_affiliation_strings":["Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY"],"affiliations":[{"raw_affiliation_string":"Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY","institution_ids":["https://openalex.org/I114112103"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027994157","display_name":"Thomas Salfeld","orcid":null},"institutions":[{"id":"https://openalex.org/I114112103","display_name":"Leibniz University Hannover","ror":"https://ror.org/0304hq317","country_code":"DE","type":"education","lineage":["https://openalex.org/I114112103"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Thomas Salfeld","raw_affiliation_strings":["Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY"],"affiliations":[{"raw_affiliation_string":"Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY","institution_ids":["https://openalex.org/I114112103"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103075618","display_name":"Stefan Weber","orcid":"https://orcid.org/0000-0001-7770-5672"},"institutions":[{"id":"https://openalex.org/I114112103","display_name":"Leibniz University Hannover","ror":"https://ror.org/0304hq317","country_code":"DE","type":"education","lineage":["https://openalex.org/I114112103"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Stefan Weber","raw_affiliation_strings":["Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY"],"affiliations":[{"raw_affiliation_string":"Gottfried Wilhelm Leibniz Universit\u00e4t Hannover, Hannover, GERMANY","institution_ids":["https://openalex.org/I114112103"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5017310857"],"corresponding_institution_ids":["https://openalex.org/I114112103"],"apc_list":null,"apc_paid":null,"fwci":0.4811,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.65826772,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"55","issue":null,"first_page":"922","last_page":"932"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9986000061035156,"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":0.9986000061035156,"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":0.9829999804496765,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9800000190734863,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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"}}],"keywords":[{"id":"https://openalex.org/keywords/downside-risk","display_name":"Downside risk","score":0.7300405502319336},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.5883452892303467},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5546499490737915},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.51558917760849},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5057101249694824},{"id":"https://openalex.org/keywords/stochastic-optimization","display_name":"Stochastic optimization","score":0.4761374294757843},{"id":"https://openalex.org/keywords/certainty","display_name":"Certainty","score":0.4718254506587982},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.44807249307632446},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.4261187016963959},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.4145180583000183},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.41215047240257263},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3909760117530823},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.36363762617111206},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3515656292438507},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.17147698998451233},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.16102832555770874},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.132045179605484},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.11624431610107422},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.07697436213493347}],"concepts":[{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.7300405502319336},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5883452892303467},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5546499490737915},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.51558917760849},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5057101249694824},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.4761374294757843},{"id":"https://openalex.org/C7493553","wikidata":"https://www.wikidata.org/wiki/Q1520777","display_name":"Certainty","level":2,"score":0.4718254506587982},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.44807249307632446},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4261187016963959},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.4145180583000183},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.41215047240257263},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3909760117530823},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.36363762617111206},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3515656292438507},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.17147698998451233},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16102832555770874},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.132045179605484},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.11624431610107422},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.07697436213493347},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2013.6721483","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2013.6721483","pdf_url":null,"source":{"id":"https://openalex.org/S4363607809","display_name":"2013 Winter Simulations Conference (WSC)","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":"2013 Winter Simulations Conference (WSC)","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":12,"referenced_works":["https://openalex.org/W1489087445","https://openalex.org/W1499021337","https://openalex.org/W1531010729","https://openalex.org/W1976406849","https://openalex.org/W2019291268","https://openalex.org/W2046396733","https://openalex.org/W2054836987","https://openalex.org/W2153141513","https://openalex.org/W3145648774","https://openalex.org/W3150596362","https://openalex.org/W4213065535","https://openalex.org/W4241466503"],"related_works":["https://openalex.org/W799577184","https://openalex.org/W4301377905","https://openalex.org/W2408851247","https://openalex.org/W3121825436","https://openalex.org/W2950198523","https://openalex.org/W3122839946","https://openalex.org/W1982899954","https://openalex.org/W2031780815","https://openalex.org/W3122839706","https://openalex.org/W2594064876"],"abstract_inverted_index":{"Global":[0],"financial":[1,14],"markets":[2],"require":[3],"suitable":[4,103],"techniques":[5],"for":[6,26],"the":[7,10,17,27,44,68],"quantification":[8],"of":[9,13,29,35,46,53,79],"downside":[11],"risk":[12,37,54,70],"positions.":[15],"In":[16],"current":[18],"paper,":[19],"we":[20],"concentrate":[21],"on":[22,43],"Monte":[23],"Carlo":[24],"methods":[25],"estimation":[28],"an":[30],"important":[31],"and":[32,61,72,105],"broad":[33],"class":[34],"convex":[36],"measures":[38,55],"which":[39],"can":[40,87],"be":[41,88],"constructed":[42],"basis":[45],"optimized":[47],"certainty":[48],"equivalents":[49],"(OCEs).":[50],"This":[51],"family":[52],"-":[56,64],"originally":[57],"introduced":[58],"in":[59,109],"Ben-Tal":[60],"Teboulle":[62],"(2007)":[63],"includes,":[65],"among":[66],"others,":[67],"entropic":[69],"measure":[71],"average":[73],"value":[74],"at":[75],"risk.":[76],"The":[77],"calculation":[78],"OCEs":[80],"involves":[81],"a":[82,91,97],"stochastic":[83,92],"optimization":[84],"problem":[85,95],"that":[86],"reduced":[89],"to":[90],"root":[93],"finding":[94],"via":[96],"first":[98],"order":[99],"condition.":[100],"We":[101],"describe":[102],"algorithms":[104],"illustrate":[106],"their":[107],"properties":[108],"numerical":[110],"case":[111],"studies.":[112]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
