{"id":"https://openalex.org/W1993868621","doi":"https://doi.org/10.1137/100782528","title":"Optimal Investment under Model Uncertainty in Nondominated Models","display_name":"Optimal Investment under Model Uncertainty in Nondominated Models","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W1993868621","doi":"https://doi.org/10.1137/100782528","mag":"1993868621"},"language":"en","primary_location":{"id":"doi:10.1137/100782528","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100782528","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","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/A5064811630","display_name":"Laurent Denis","orcid":"https://orcid.org/0000-0001-9216-8318"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Laurent Denis","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5016891501","display_name":"Magali Kervarec","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Magali Kervarec","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.7754,"has_fulltext":false,"cited_by_count":73,"citation_normalized_percentile":{"value":0.96677795,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"51","issue":"3","first_page":"1803","last_page":"1822"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"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":0.996999979019165,"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/T12137","display_name":"Economic theories and models","score":0.989799976348877,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/utility-maximization","display_name":"Utility maximization","score":0.7294196486473083},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7209614515304565},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.6885160803794861},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.6648920774459839},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6450917720794678},{"id":"https://openalex.org/keywords/utility-maximization-problem","display_name":"Utility maximization problem","score":0.5480036735534668},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.519975483417511},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.47175318002700806},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4660291373729706},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.438541442155838},{"id":"https://openalex.org/keywords/set","display_name":"Set (abstract data type)","score":0.43505188822746277},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.22187665104866028},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.15927857160568237},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.08890610933303833}],"concepts":[{"id":"https://openalex.org/C2985793214","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization","level":2,"score":0.7294196486473083},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7209614515304565},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.6885160803794861},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.6648920774459839},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6450917720794678},{"id":"https://openalex.org/C2779044140","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization problem","level":3,"score":0.5480036735534668},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.519975483417511},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.47175318002700806},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4660291373729706},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.438541442155838},{"id":"https://openalex.org/C177264268","wikidata":"https://www.wikidata.org/wiki/Q1514741","display_name":"Set (abstract data type)","level":2,"score":0.43505188822746277},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.22187665104866028},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.15927857160568237},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.08890610933303833},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"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:10.1137/100782528","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100782528","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","score":0.4000000059604645,"display_name":"Partnerships for the goals"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1979627408","https://openalex.org/W2006080424","https://openalex.org/W2022958749","https://openalex.org/W2048594534","https://openalex.org/W2051444274","https://openalex.org/W2056197533","https://openalex.org/W2067477904","https://openalex.org/W2079233604","https://openalex.org/W2087001647","https://openalex.org/W2106198462","https://openalex.org/W2154738336","https://openalex.org/W2155277749","https://openalex.org/W4239449948"],"related_works":["https://openalex.org/W2267645079","https://openalex.org/W3125484764","https://openalex.org/W2898935548","https://openalex.org/W4298724016","https://openalex.org/W2804919172","https://openalex.org/W336701725","https://openalex.org/W2011086155","https://openalex.org/W2469900306","https://openalex.org/W2766837493","https://openalex.org/W3124460940"],"abstract_inverted_index":{"In":[0],"this":[1,58],"paper,":[2],"we":[3,9],"provide":[4],"a":[5,39,50,65],"framework":[6,59],"in":[7,57],"which":[8,44,67],"can":[10],"set":[11],"the":[12,22,27,30,62],"problem":[13],"of":[14,16,29,41,64],"maximization":[15,56],"utility":[17,55],"function,":[18],"taking":[19],"into":[20],"account":[21],"model":[23],"uncertainty":[24,35],"and":[25,60],"encompassing":[26],"case":[28],"uncertain":[31],"volatility":[32],"model.":[33],"The":[34],"is":[36,45,68],"specified":[37],"by":[38],"family":[40],"semimartingales":[42],"laws":[43],"typically":[46],"nondominated.":[47],"We":[48],"establish":[49],"duality":[51],"theory":[52],"for":[53],"robust":[54],"prove":[61],"existence":[63],"probability":[66],"least":[69],"favorable.":[70]},"counts_by_year":[{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":10},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}