{"id":"https://openalex.org/W3125732435","doi":"https://doi.org/10.1137/15m1032533","title":"Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities","display_name":"Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W3125732435","doi":"https://doi.org/10.1137/15m1032533","mag":"3125732435"},"language":"en","primary_location":{"id":"doi:10.1137/15m1032533","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1032533","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/A5051801244","display_name":"Jean\u2010Pierre Fouque","orcid":"https://orcid.org/0000-0001-8786-5645"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jean-Pierre Fouque","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5089225379","display_name":"Chi Seng Pun","orcid":"https://orcid.org/0000-0002-7478-6961"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Chi Seng Pun","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5072737565","display_name":"Hoi Ying Wong","orcid":"https://orcid.org/0000-0001-9743-1832"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Hoi Ying Wong","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":14.5879,"has_fulltext":false,"cited_by_count":101,"citation_normalized_percentile":{"value":0.98943034,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"54","issue":"5","first_page":"2309","last_page":"2338"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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":0.9994999766349792,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9969000220298767,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9966999888420105,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5854904651641846},{"id":"https://openalex.org/keywords/utility-maximization-problem","display_name":"Utility maximization problem","score":0.5450679063796997},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5357707142829895},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5193892121315002},{"id":"https://openalex.org/keywords/minimax","display_name":"Minimax","score":0.516332745552063},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.49776744842529297},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.49337807297706604},{"id":"https://openalex.org/keywords/constant","display_name":"Constant (computer programming)","score":0.4581931531429291},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.44872257113456726},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4444105327129364},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4353730380535126},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.39339160919189453},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.38853079080581665},{"id":"https://openalex.org/keywords/utility-maximization","display_name":"Utility maximization","score":0.3870885372161865},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19611090421676636},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.16318467259407043}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5854904651641846},{"id":"https://openalex.org/C2779044140","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization problem","level":3,"score":0.5450679063796997},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5357707142829895},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5193892121315002},{"id":"https://openalex.org/C149728462","wikidata":"https://www.wikidata.org/wiki/Q751319","display_name":"Minimax","level":2,"score":0.516332745552063},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.49776744842529297},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.49337807297706604},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.4581931531429291},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.44872257113456726},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4444105327129364},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4353730380535126},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.39339160919189453},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38853079080581665},{"id":"https://openalex.org/C2985793214","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization","level":2,"score":0.3870885372161865},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19611090421676636},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.16318467259407043},{"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:10.1137/15m1032533","is_oa":false,"landing_page_url":"https://doi.org/10.1137/15m1032533","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":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W629014062","https://openalex.org/W1487597787","https://openalex.org/W1976890032","https://openalex.org/W1978011944","https://openalex.org/W1985296147","https://openalex.org/W2006080424","https://openalex.org/W2027654260","https://openalex.org/W2042704439","https://openalex.org/W2054697749","https://openalex.org/W2062114931","https://openalex.org/W2077816703","https://openalex.org/W2085569543","https://openalex.org/W2119094949","https://openalex.org/W2138765659","https://openalex.org/W2149664115","https://openalex.org/W2154560360","https://openalex.org/W2160581414","https://openalex.org/W2170217852","https://openalex.org/W2592212532","https://openalex.org/W3121502277","https://openalex.org/W3122362298","https://openalex.org/W3123858474","https://openalex.org/W3124471929","https://openalex.org/W3124909925","https://openalex.org/W3125427822"],"related_works":["https://openalex.org/W4254286558","https://openalex.org/W3125484764","https://openalex.org/W2898935548","https://openalex.org/W4298724016","https://openalex.org/W2029358414","https://openalex.org/W2804919172","https://openalex.org/W336701725","https://openalex.org/W2011086155","https://openalex.org/W2469900306","https://openalex.org/W2766837493"],"abstract_inverted_index":{"In":[0],"a":[1,11,59,110,136],"continuous-time":[2],"economy,":[3],"we":[4],"investigate":[5],"the":[6,23,34,40,45,51,64,67,78,86,144,153],"asset":[7,13,101],"allocation":[8],"problem":[9,43,65,87],"among":[10],"risk-free":[12],"and":[14,121],"two":[15,24],"risky":[16,25,71,93,100,150],"assets":[17,72,94,151],"with":[18,48,73,95],"an":[19,74,96],"ambiguous":[20,75,97,154],"correlation":[21,36,76,98],"between":[22,99],"assets.":[26],"The":[27],"portfolio":[28],"selection":[29],"that":[30,140],"is":[31,37,107],"robust":[32],"to":[33,50,88],"uncertain":[35],"formulated":[38],"as":[39],"utility":[41,114],"maximization":[42],"over":[44],"worst-case":[46],"scenario":[47],"respect":[49],"possible":[52],"choice":[53],"of":[54,80,113,149],"correlation.":[55,155],"Thus,":[56],"it":[57],"becomes":[58],"maximin":[60],"problem.":[61],"We":[62,83,134],"solve":[63],"under":[66],"Black--Scholes":[68],"model":[69],"for":[70,92,109],"using":[77],"theory":[79],"$G$-Brownian":[81],"motions.":[82],"then":[84],"extend":[85],"stochastic":[89,128],"volatility":[90,147],"models":[91],"returns.":[102],"An":[103],"asymptotic":[104],"closed-form":[105],"solution":[106],"derived":[108],"general":[111],"class":[112],"functions,":[115],"including":[116],"constant":[117,122],"relative":[118],"risk":[119,124],"aversion":[120,125],"absolute":[123],"utilities,":[126],"when":[127],"volatilities":[129],"are":[130],"fast":[131],"mean":[132],"reverting.":[133],"propose":[135],"practical":[137],"trading":[138],"strategy":[139],"combines":[141],"information":[142],"from":[143],"option":[145],"implied":[146],"surfaces":[148],"through":[152]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":13},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":10},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":15},{"year":2020,"cited_by_count":13},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":15},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}