{"id":"https://openalex.org/W2077336553","doi":"https://doi.org/10.1142/s0217595910002521","title":"A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT","display_name":"A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT","publication_year":2010,"publication_date":"2010-02-01","ids":{"openalex":"https://openalex.org/W2077336553","doi":"https://doi.org/10.1142/s0217595910002521","mag":"2077336553"},"language":"en","primary_location":{"id":"doi:10.1142/s0217595910002521","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0217595910002521","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","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/A5002997102","display_name":"Yoshihiro Takaya","orcid":null},"institutions":[{"id":"https://openalex.org/I96679780","display_name":"Chuo University","ror":"https://ror.org/03qvqb743","country_code":"JP","type":"education","lineage":["https://openalex.org/I96679780"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"YOSHIHIRO TAKAYA","raw_affiliation_strings":["Department of Industrial and Systems Engineering, Chuo University, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial and Systems Engineering, Chuo University, Japan","institution_ids":["https://openalex.org/I96679780"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5001687718","display_name":"Hiroshi Konno","orcid":"https://orcid.org/0000-0003-4784-1483"},"institutions":[{"id":"https://openalex.org/I96679780","display_name":"Chuo University","ror":"https://ror.org/03qvqb743","country_code":"JP","type":"education","lineage":["https://openalex.org/I96679780"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"HIROSHI KONNO","raw_affiliation_strings":["Department of Industrial and Systems Engineering, Chuo University, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial and Systems Engineering, Chuo University, Japan","institution_ids":["https://openalex.org/I96679780"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.1525,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.83697007,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"27","issue":"01","first_page":"1","last_page":"13"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"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":0.9983999729156494,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9948999881744385,"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/predictability","display_name":"Predictability","score":0.962701678276062},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.7843855619430542},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7423219084739685},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.7376783490180969},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.6185610294342041},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5266525745391846},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.4403435289859772},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.28297847509384155},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.22431886196136475},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.18694767355918884},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.13309848308563232},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.10630187392234802}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.962701678276062},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.7843855619430542},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7423219084739685},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.7376783490180969},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6185610294342041},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5266525745391846},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.4403435289859772},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.28297847509384155},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22431886196136475},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.18694767355918884},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.13309848308563232},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10630187392234802},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","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:10.1142/s0217595910002521","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0217595910002521","pdf_url":null,"source":{"id":"https://openalex.org/S1254427","display_name":"Asia Pacific Journal of Operational Research","issn_l":"0217-5959","issn":["0217-5959","1793-7019"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asia-Pacific Journal of Operational Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:apjorx:v:27:y:2010:i:01:n:s0217595910002521","is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0217595910002521","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"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"},{"id":"pmh:oai:RePEc:wsi:apjorx:v:27:y:2010:i:01:p:1-13","is_oa":false,"landing_page_url":"http://www.worldscinet.com/cgi-bin/details.cgi?type=html&amp;id=pii:S0217595910002521","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W1592347417","https://openalex.org/W1967956032","https://openalex.org/W1993106786","https://openalex.org/W1996859694","https://openalex.org/W2031275188","https://openalex.org/W2038865108","https://openalex.org/W2056779374","https://openalex.org/W2080740821","https://openalex.org/W2114180214","https://openalex.org/W2136120210","https://openalex.org/W2156577211","https://openalex.org/W3122325428"],"related_works":["https://openalex.org/W2726467123","https://openalex.org/W2064726690","https://openalex.org/W4252678288","https://openalex.org/W4254065731","https://openalex.org/W1607297154","https://openalex.org/W4210820789","https://openalex.org/W2913177154","https://openalex.org/W4237782192","https://openalex.org/W2953089714","https://openalex.org/W2388487404"],"abstract_inverted_index":{"The":[0],"authors":[1],"demonstrated":[2],"in":[3],"earlier":[4],"papers":[5],"that":[6,60],"a":[7,13,18,28,40,65],"maximal":[8,41],"predictability":[9,42],"portfolio":[10,43],"(MPP)":[11],"using":[12],"dynamic":[14],"strategy":[15,30],"leads":[16,63],"to":[17,45,64],"significantly":[19,66],"better":[20,67],"ex-post":[21],"performance":[22,68],"than":[23,69],"the":[24,32,70,74],"one":[25],"based":[26],"on":[27],"static":[29],"and":[31,73],"index.":[33,75],"In":[34],"this":[35,61],"paper,":[36],"we":[37,52],"will":[38,57],"consider":[39],"subject":[44],"transaction":[46,50],"cost.":[47],"To":[48],"reduce":[49],"cost,":[51],"employ":[53],"turnover":[54],"constraint.":[55],"It":[56],"be":[58],"shown":[59],"approach":[62],"standard":[71],"MPP":[72]},"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
