{"id":"https://openalex.org/W4385457867","doi":"https://doi.org/10.1137/22m154418x","title":"Constrained Monotone Mean-Variance Problem with Random Coefficients","display_name":"Constrained Monotone Mean-Variance Problem with Random Coefficients","publication_year":2023,"publication_date":"2023-08-01","ids":{"openalex":"https://openalex.org/W4385457867","doi":"https://doi.org/10.1137/22m154418x"},"language":"en","primary_location":{"id":"doi:10.1137/22m154418x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/22m154418x","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":true,"oa_status":"green","oa_url":"https://hal.science/hal-04364587/document","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040645589","display_name":"Ying Hu","orcid":"https://orcid.org/0000-0002-1080-2600"},"institutions":[{"id":"https://openalex.org/I56067802","display_name":"Universit\u00e9 de Rennes","ror":"https://ror.org/015m7wh34","country_code":"FR","type":"education","lineage":["https://openalex.org/I56067802"]},{"id":"https://openalex.org/I4210161663","display_name":"Institut de recherche math\u00e9matique de Rennes","ror":"https://ror.org/05y76vp22","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I2800285241","https://openalex.org/I28221208","https://openalex.org/I3124938446","https://openalex.org/I4210117091","https://openalex.org/I4210141950","https://openalex.org/I4210146044","https://openalex.org/I4210161663","https://openalex.org/I4399657933","https://openalex.org/I56067802","https://openalex.org/I56067802"]},{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1294671590"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Ying Hu","raw_affiliation_strings":["Universit\u00e9 de Rennes, CNRS, IRMAR-UMR 6625, F-35000 Rennes, France"],"affiliations":[{"raw_affiliation_string":"Universit\u00e9 de Rennes, CNRS, IRMAR-UMR 6625, F-35000 Rennes, France","institution_ids":["https://openalex.org/I56067802","https://openalex.org/I1294671590","https://openalex.org/I4210161663"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102857627","display_name":"Xiaomin Shi","orcid":"https://orcid.org/0000-0002-3725-4165"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Xiaomin Shi","raw_affiliation_strings":["Corresponding author. School of Statistics and Mathematics, Shandong University of Finance and Economics, Jinan 250100, China"],"affiliations":[{"raw_affiliation_string":"Corresponding author. School of Statistics and Mathematics, Shandong University of Finance and Economics, Jinan 250100, China","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019266386","display_name":"Zuo Quan Xu","orcid":"https://orcid.org/0000-0001-6824-1634"},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Zuo Quan Xu","raw_affiliation_strings":["Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China","institution_ids":["https://openalex.org/I14243506"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5040645589"],"corresponding_institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I4210161663","https://openalex.org/I56067802"],"apc_list":null,"apc_paid":null,"fwci":1.4789,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.82896349,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":97},"biblio":{"volume":"14","issue":"3","first_page":"838","last_page":"854"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9966999888420105,"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"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","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"}},{"id":"https://openalex.org/T10315","display_name":"Decision-Making and Behavioral Economics","score":0.9758999943733215,"subfield":{"id":"https://openalex.org/subfields/1800","display_name":"General Decision Sciences"},"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/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9729999899864197,"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/monotone-polygon","display_name":"Monotone polygon","score":0.7927681803703308},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.726441502571106},{"id":"https://openalex.org/keywords/regular-polygon","display_name":"Regular polygon","score":0.5700889825820923},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.555785596370697},{"id":"https://openalex.org/keywords/cone","display_name":"Cone (formal languages)","score":0.4988744258880615},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.49027445912361145},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.47102102637290955},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.41811442375183105},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1338079571723938},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11337676644325256}],"concepts":[{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.7927681803703308},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.726441502571106},{"id":"https://openalex.org/C112680207","wikidata":"https://www.wikidata.org/wiki/Q714886","display_name":"Regular polygon","level":2,"score":0.5700889825820923},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.555785596370697},{"id":"https://openalex.org/C30014739","wikidata":"https://www.wikidata.org/wiki/Q5159445","display_name":"Cone (formal languages)","level":2,"score":0.4988744258880615},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.49027445912361145},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.47102102637290955},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.41811442375183105},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1338079571723938},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11337676644325256},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/22m154418x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/22m154418x","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"},{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/111390","is_oa":false,"landing_page_url":"http://hdl.handle.net/10397/111390","pdf_url":null,"source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"Journal/Magazine Article"},{"id":"pmh:oai:HAL:hal-04364587v1","is_oa":true,"landing_page_url":"https://hal.science/hal-04364587","pdf_url":"https://hal.science/hal-04364587/document","source":{"id":"https://openalex.org/S4406922466","display_name":"SPIRE - Sciences Po Institutional REpository","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":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2023, 14 (3), pp.838-854. &#x27E8;10.1137/22M154418X&#x27E9;","raw_type":"Journal articles"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-04364587v1","is_oa":true,"landing_page_url":"https://hal.science/hal-04364587","pdf_url":"https://hal.science/hal-04364587/document","source":{"id":"https://openalex.org/S4406922466","display_name":"SPIRE - Sciences Po Institutional REpository","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":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2023, 14 (3), pp.838-854. &#x27E8;10.1137/22M154418X&#x27E9;","raw_type":"Journal articles"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2085053958","display_name":"SBIR Phase I:  Big data Analytics Driven Adaptive Learning for STEM Education","funder_award_id":"1520242","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G2211742836","display_name":"RAPID:  Hurricane Maria:   ASSESSING LANDSCAPE RESILIENCE TO A CHANGING DISTURBANCE REGIME","funder_award_id":"1801315","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G3430736667","display_name":null,"funder_award_id":"11971409","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3784502089","display_name":null,"funder_award_id":"ZR2018QA001","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/G4616633230","display_name":null,"funder_award_id":"15202","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4830050000","display_name":null,"funder_award_id":"ANR-11-LABX-0020-01","funder_id":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche"},{"id":"https://openalex.org/G6120283475","display_name":null,"funder_award_id":"11801315","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6221780053","display_name":null,"funder_award_id":"11971","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7023254083","display_name":null,"funder_award_id":"15202421","funder_id":"https://openalex.org/F4320321592","funder_display_name":"Research Grants Council, University Grants Committee"},{"id":"https://openalex.org/G7049880175","display_name":null,"funder_award_id":"1-CE03","funder_id":"https://openalex.org/F4320322598","funder_display_name":"Hong Kong Polytechnic University"},{"id":"https://openalex.org/G8202508999","display_name":null,"funder_award_id":"15204622","funder_id":"https://openalex.org/F4320321592","funder_display_name":"Research Grants Council, University Grants Committee"},{"id":"https://openalex.org/G8683859336","display_name":null,"funder_award_id":"CAS AMSS","funder_id":"https://openalex.org/F4320322598","funder_display_name":"Hong Kong Polytechnic University"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320320883","display_name":"Agence Nationale de la Recherche","ror":"https://ror.org/00rbzpz17"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321592","display_name":"Research Grants Council, University Grants Committee","ror":"https://ror.org/00djwmt25"},{"id":"https://openalex.org/F4320322598","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4385457867.pdf"},"referenced_works_count":12,"referenced_works":["https://openalex.org/W1534416612","https://openalex.org/W1994712972","https://openalex.org/W2002788332","https://openalex.org/W2947790174","https://openalex.org/W3010087086","https://openalex.org/W3020080612","https://openalex.org/W3023195132","https://openalex.org/W3100469906","https://openalex.org/W3124783236","https://openalex.org/W3125948994","https://openalex.org/W4247591450","https://openalex.org/W4306154928"],"related_works":["https://openalex.org/W2371409811","https://openalex.org/W4234445916","https://openalex.org/W4253275321","https://openalex.org/W3128918387","https://openalex.org/W2951803149","https://openalex.org/W4297979479","https://openalex.org/W2127049360","https://openalex.org/W4286500555","https://openalex.org/W2139926592","https://openalex.org/W2784494936"],"abstract_inverted_index":{"202502":[0],"bcch":[1]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3}],"updated_date":"2026-03-22T08:09:32.410652","created_date":"2025-10-10T00:00:00"}
