{"id":"https://openalex.org/W4393195150","doi":"https://doi.org/10.1137/21m1448276","title":"Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model","display_name":"Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model","publication_year":2024,"publication_date":"2024-03-26","ids":{"openalex":"https://openalex.org/W4393195150","doi":"https://doi.org/10.1137/21m1448276"},"language":"en","primary_location":{"id":"doi:10.1137/21m1448276","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/21m1448276","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"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 Financial Mathematics","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/A5078934312","display_name":"Qinyu Wu","orcid":"https://orcid.org/0000-0003-2268-5285"},"institutions":[{"id":"https://openalex.org/I188935350","display_name":"Anhui University of Finance and Economics","ror":"https://ror.org/0152zzg30","country_code":"CN","type":"education","lineage":["https://openalex.org/I188935350"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Qinyu Wu","raw_affiliation_strings":["International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China","institution_ids":["https://openalex.org/I188935350"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5066155007","display_name":"Tiantian Mao","orcid":"https://orcid.org/0000-0003-3428-004X"},"institutions":[{"id":"https://openalex.org/I188935350","display_name":"Anhui University of Finance and Economics","ror":"https://ror.org/0152zzg30","country_code":"CN","type":"education","lineage":["https://openalex.org/I188935350"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tiantian Mao","raw_affiliation_strings":["International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China","institution_ids":["https://openalex.org/I188935350"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5023576850","display_name":"Taizhong Hu","orcid":"https://orcid.org/0000-0002-9426-2348"},"institutions":[{"id":"https://openalex.org/I188935350","display_name":"Anhui University of Finance and Economics","ror":"https://ror.org/0152zzg30","country_code":"CN","type":"education","lineage":["https://openalex.org/I188935350"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Taizhong Hu","raw_affiliation_strings":["Corresponding author. International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Corresponding author. International Institute of Finance, Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026 China","institution_ids":["https://openalex.org/I188935350"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I188935350"],"apc_list":null,"apc_paid":null,"fwci":0.6898,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.70805745,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"15","issue":"1","first_page":"255","last_page":"294"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"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":0.9987999796867371,"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/T10050","display_name":"Multi-Criteria Decision Making","score":0.9983999729156494,"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/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9922000169754028,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5383464097976685},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5211620330810547},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.49518314003944397},{"id":"https://openalex.org/keywords/rank","display_name":"Rank (graph theory)","score":0.48271986842155457},{"id":"https://openalex.org/keywords/certainty","display_name":"Certainty","score":0.44364115595817566},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3589012324810028},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3385927081108093},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.15260285139083862}],"concepts":[{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5383464097976685},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5211620330810547},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49518314003944397},{"id":"https://openalex.org/C164226766","wikidata":"https://www.wikidata.org/wiki/Q7293202","display_name":"Rank (graph theory)","level":2,"score":0.48271986842155457},{"id":"https://openalex.org/C7493553","wikidata":"https://www.wikidata.org/wiki/Q1520777","display_name":"Certainty","level":2,"score":0.44364115595817566},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3589012324810028},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3385927081108093},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.15260285139083862},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/21m1448276","is_oa":false,"landing_page_url":"http://dx.doi.org/10.1137/21m1448276","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"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 Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1361971565","display_name":null,"funder_award_id":"72332007","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1624938739","display_name":null,"funder_award_id":"71921001","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3578977939","display_name":null,"funder_award_id":"12371476","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7095503544","display_name":null,"funder_award_id":"2208085MA07","funder_id":"https://openalex.org/F4320334897","funder_display_name":"Natural Science Foundation of Anhui Province"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320334897","display_name":"Natural Science Foundation of Anhui Province","ror":null}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1591570634","https://openalex.org/W1969897341","https://openalex.org/W1976406849","https://openalex.org/W1985077192","https://openalex.org/W2019291268","https://openalex.org/W2037329169","https://openalex.org/W2041660482","https://openalex.org/W2046396733","https://openalex.org/W2056819186","https://openalex.org/W2067477904","https://openalex.org/W2069826626","https://openalex.org/W2109122936","https://openalex.org/W2136914524","https://openalex.org/W2154738336","https://openalex.org/W2766966154","https://openalex.org/W2792272759","https://openalex.org/W2963786320","https://openalex.org/W3121841769","https://openalex.org/W3122170229","https://openalex.org/W3123580226","https://openalex.org/W3124592362","https://openalex.org/W3124906040","https://openalex.org/W3198744134","https://openalex.org/W4213065535","https://openalex.org/W4249667877"],"related_works":["https://openalex.org/W2418227039","https://openalex.org/W2387971622","https://openalex.org/W1559214593","https://openalex.org/W2141935323","https://openalex.org/W2418299857","https://openalex.org/W2466655349","https://openalex.org/W2348150032","https://openalex.org/W2266786133","https://openalex.org/W2499231147","https://openalex.org/W2024983417"],"abstract_inverted_index":{"Abstract.":[0],"The":[1,142],"classic":[2],"optimized":[3,98,132],"certainty":[4,99,133],"equivalent":[5,100,118,134],"(OCE),":[6],"proposed":[7,151],"by":[8,38,152],"Ben-Tal":[9],"and":[10,43,72,84,115,123,154],"Teboulle":[11],"[":[12,74,156],"Manag.":[13],"Sci.,":[14],"11":[15],"(1986),":[16],"pp.":[17,78,161],"1445\u20131466],":[18],"employs":[19],"the":[20,27,51,55,66,82,86,103,129,137,146],"classical":[21],"expected":[22],"utility":[23,139],"model":[24,32],"to":[25,50,80],"evaluate":[26],"random":[28],"risk,":[29],"in":[30,62],"which":[31],"each":[33],"decision":[34],"maker":[35],"is":[36,47,163],"characterized":[37],"a":[39,95],"unique":[40],"probability":[41],"measure":[42,150],"only":[44],"outcome":[45],"uncertainty":[46,60],"assumed.":[48],"Due":[49],"lack":[52],"of":[53,69,88,97,120,131,145],"information,":[54],"distribution":[56],"ambiguity":[57],"or":[58],"Knightian":[59],"prevails":[61],"reality.":[63],"We":[64],"employ":[65],"variational":[67,104],"preference":[68],"Maccheroni,":[70],"Marinacci,":[71],"Rustichini":[73],"Econometrica,":[75],"74":[76],"(2006),":[77],"1447\u20131498]":[79],"address":[81],"issue":[83],"generalize":[85],"concept":[87],"OCE.":[89],"In":[90],"this":[91],"paper,":[92],"we":[93,127],"introduce":[94],"class":[96],"based":[101,110,135],"on":[102,111,136],"preference,":[105],"give":[106],"its":[107,117],"dual":[108,143],"representation":[109,144],"[Formula:":[112],"see":[113],"text]-divergence,":[114],"study":[116],"characterization":[119],"positive":[121],"homogeneity":[122],"coherence.":[124],"As":[125],"applications,":[126],"investigate":[128],"properties":[130],"rank-dependent":[138],"(RDU)":[140],"model.":[141],"RDU-based":[147],"shortfall":[148],"risk":[149],"Mao":[153],"Cai":[155],"Finance":[157],"Stoch.,":[158],"2":[159],"(2018),":[160],"367\u2013393]":[162],"also":[164],"presented.":[165]},"counts_by_year":[{"year":2026,"cited_by_count":2}],"updated_date":"2026-08-22T07:34:49.880490","created_date":"2025-10-10T00:00:00"}
