{"id":"https://openalex.org/W2137631553","doi":"https://doi.org/10.1137/140955264","title":"Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time","display_name":"Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2137631553","doi":"https://doi.org/10.1137/140955264","mag":"2137631553"},"language":"en","primary_location":{"id":"doi:10.1137/140955264","is_oa":false,"landing_page_url":"https://doi.org/10.1137/140955264","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/A5025795563","display_name":"Jianjun Gao","orcid":"https://orcid.org/0000-0002-7824-5919"},"institutions":[{"id":"https://openalex.org/I181679659","display_name":"Shanghai University of Finance and Economics","ror":"https://ror.org/00wtvfq62","country_code":"CN","type":"education","lineage":["https://openalex.org/I181679659"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jianjun Gao","raw_affiliation_strings":["SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS"],"affiliations":[{"raw_affiliation_string":"SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS","institution_ids":["https://openalex.org/I181679659"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084815503","display_name":"Ke Zhou","orcid":"https://orcid.org/0000-0001-5347-6318"},"institutions":[{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ke Zhou","raw_affiliation_strings":["Hunan University"],"affiliations":[{"raw_affiliation_string":"Hunan University","institution_ids":["https://openalex.org/I16609230"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100745907","display_name":"Duan Li","orcid":"https://orcid.org/0000-0001-9786-6238"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"CN","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Duan Li","raw_affiliation_strings":["Chinese University of Hong Kong"],"affiliations":[{"raw_affiliation_string":"Chinese University of Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100635237","display_name":"Xi\u2010Ren Cao","orcid":"https://orcid.org/0000-0001-5165-8804"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiren Cao","raw_affiliation_strings":["Shanghai Jiao Tong Univ"],"affiliations":[{"raw_affiliation_string":"Shanghai Jiao Tong Univ","institution_ids":["https://openalex.org/I183067930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5025795563"],"corresponding_institution_ids":["https://openalex.org/I181679659"],"apc_list":null,"apc_paid":null,"fwci":4.5695,"has_fulltext":false,"cited_by_count":48,"citation_normalized_percentile":{"value":0.94375678,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"55","issue":"3","first_page":"1377","last_page":"1397"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994999766349792,"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":0.9994999766349792,"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":0.9991999864578247,"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/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9902999997138977,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cvar","display_name":"CVAR","score":0.9461934566497803},{"id":"https://openalex.org/keywords/downside-risk","display_name":"Downside risk","score":0.8615002036094666},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7123842239379883},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.7048426866531372},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6033814549446106},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5992350578308105},{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5888960361480713},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.574266791343689},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.47419148683547974},{"id":"https://openalex.org/keywords/uniqueness","display_name":"Uniqueness","score":0.4725237488746643},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.34794703125953674},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.29464590549468994},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.2812104821205139},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.08930438756942749}],"concepts":[{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.9461934566497803},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.8615002036094666},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7123842239379883},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7048426866531372},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6033814549446106},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5992350578308105},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5888960361480713},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.574266791343689},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.47419148683547974},{"id":"https://openalex.org/C2777021972","wikidata":"https://www.wikidata.org/wiki/Q22976830","display_name":"Uniqueness","level":2,"score":0.4725237488746643},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.34794703125953674},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.29464590549468994},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.2812104821205139},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08930438756942749},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/140955264","is_oa":false,"landing_page_url":"https://doi.org/10.1137/140955264","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"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-160421","is_oa":false,"landing_page_url":"http://repository.hkust.edu.hk/ir/Record/1783.1-160421","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1121271761","display_name":null,"funder_award_id":"Program","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1231421488","display_name":null,"funder_award_id":"under","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2087396116","display_name":null,"funder_award_id":"China","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3317480652","display_name":null,"funder_award_id":"Science","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G391238517","display_name":null,"funder_award_id":", and","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4098875438","display_name":null,"funder_award_id":"71201102","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5994120800","display_name":null,"funder_award_id":"Natural","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6022388081","display_name":null,"funder_award_id":"2012007","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6390414574","display_name":null,"funder_award_id":"20120073120037","funder_id":"https://openalex.org/F4320321106","funder_display_name":"Ministry of Education of the People's Republic of China"},{"id":"https://openalex.org/G651070679","display_name":null,"funder_award_id":"61573244","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7033253288","display_name":null,"funder_award_id":"Grants","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G942799357","display_name":null,"funder_award_id":"201102","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/F4320321106","display_name":"Ministry of Education of the People's Republic of China","ror":"https://ror.org/01mv9t934"},{"id":"https://openalex.org/F4320322942","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1490218747","https://openalex.org/W1497980393","https://openalex.org/W1647779468","https://openalex.org/W1878329713","https://openalex.org/W1963901383","https://openalex.org/W1966132745","https://openalex.org/W1971209382","https://openalex.org/W1973946491","https://openalex.org/W1976685647","https://openalex.org/W1980314087","https://openalex.org/W1983341905","https://openalex.org/W1990441260","https://openalex.org/W1999416138","https://openalex.org/W2002788332","https://openalex.org/W2004727703","https://openalex.org/W2006776755","https://openalex.org/W2019291268","https://openalex.org/W2040139269","https://openalex.org/W2047144206","https://openalex.org/W2049258568","https://openalex.org/W2052160057","https://openalex.org/W2080292957","https://openalex.org/W2106163103","https://openalex.org/W2106391824","https://openalex.org/W2115814664","https://openalex.org/W2118856090","https://openalex.org/W2126239906","https://openalex.org/W2132621139","https://openalex.org/W2154756406","https://openalex.org/W2157883119","https://openalex.org/W3103402427","https://openalex.org/W3123079000","https://openalex.org/W3123552065","https://openalex.org/W3124407081","https://openalex.org/W3124574885","https://openalex.org/W4298434486"],"related_works":["https://openalex.org/W2259104293","https://openalex.org/W3163306334","https://openalex.org/W2137631553","https://openalex.org/W2108381265","https://openalex.org/W2301795474","https://openalex.org/W3122476485","https://openalex.org/W2953277152","https://openalex.org/W3122424748","https://openalex.org/W2304232664","https://openalex.org/W2902974788"],"abstract_inverted_index":{"We":[0],"investigate":[1],"in":[2,11,59,87],"this":[3],"paper":[4],"dynamic":[5,123],"mean-downside":[6,63],"risk":[7,16,64],"portfolio":[8,65,119],"optimization":[9],"problems":[10],"continuous-time,":[12],"where":[13,106],"the":[14,21,26,51,56,74,79,89,107,111],"downside":[15],"measures":[17],"can":[18],"be":[19],"either":[20],"lower-partial":[22],"moments":[23],"(LPM)":[24],"or":[25],"conditional":[27],"value-at-risk":[28],"(CVaR).":[29],"Our":[30],"contributions":[31],"are":[32],"twofold,":[33],"both":[34,122],"building":[35],"up":[36],"tractable":[37],"formulations":[38],"and":[39,76,92,125],"deriving":[40],"corresponding":[41],"analytical":[42,118],"solutions.":[43],"By":[44],"imposing":[45],"a":[46,60,68,84,94],"limit":[47],"funding":[48],"level":[49],"on":[50],"terminal":[52],"wealth,":[53],"we":[54,72,116],"conquer":[55],"ill-posedness":[57],"exhibited":[58],"class":[61],"of":[62,78,110],"models.":[66],"For":[67],"general":[69],"market":[70,112],"setting,":[71],"prove":[73],"existence":[75],"uniqueness":[77],"Lagrangian":[80],"multiplies,":[81],"which":[82],"is":[83,114],"key":[85],"step":[86],"applying":[88],"martingale":[90],"approach,":[91],"establish":[93],"theoretical":[95],"foundation":[96],"for":[97,104,121],"developing":[98],"efficient":[99],"numerical":[100],"solution":[101],"approaches.":[102],"Moreover,":[103],"situations":[105],"opportunity":[108],"set":[109],"setting":[113],"deterministic,":[115],"derive":[117],"policies":[120],"mean-LPM":[124],"mean-CVaR":[126],"formulations.":[127]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3}],"updated_date":"2026-03-18T14:38:29.013473","created_date":"2025-10-10T00:00:00"}
