{"id":"https://openalex.org/W2169187699","doi":"https://doi.org/10.1142/s0218488509005838","title":"DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY","display_name":"DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY","publication_year":2009,"publication_date":"2009-03-27","ids":{"openalex":"https://openalex.org/W2169187699","doi":"https://doi.org/10.1142/s0218488509005838","mag":"2169187699"},"language":"en","primary_location":{"id":"doi:10.1142/s0218488509005838","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0218488509005838","pdf_url":null,"source":{"id":"https://openalex.org/S69518169","display_name":"International Journal of Uncertainty Fuzziness and Knowledge-Based Systems","issn_l":"0218-4885","issn":["0218-4885","1793-6411"],"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":"International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems","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/A5102015075","display_name":"Mei Yu","orcid":"https://orcid.org/0000-0001-5115-9837"},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"MEI YU","raw_affiliation_strings":["School of Finance &amp; Banking, University of International Business and Economics, Beijing 100029, China"],"affiliations":[{"raw_affiliation_string":"School of Finance &amp; Banking, University of International Business and Economics, Beijing 100029, China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5071574484","display_name":"Hiroshi Inou\u00e9","orcid":"https://orcid.org/0000-0001-5253-5144"},"institutions":[{"id":"https://openalex.org/I161296585","display_name":"Tokyo University of Science","ror":"https://ror.org/05sj3n476","country_code":"JP","type":"education","lineage":["https://openalex.org/I161296585"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"HIROSHI INOUE","raw_affiliation_strings":["School of Management, Tokyo University of Science, Kuki-shi Saitama 346-8512, Japan"],"affiliations":[{"raw_affiliation_string":"School of Management, Tokyo University of Science, Kuki-shi Saitama 346-8512, Japan","institution_ids":["https://openalex.org/I161296585"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101913108","display_name":"Satoru Takahashi","orcid":"https://orcid.org/0000-0002-3605-2633"},"institutions":[{"id":"https://openalex.org/I161296585","display_name":"Tokyo University of Science","ror":"https://ror.org/05sj3n476","country_code":"JP","type":"education","lineage":["https://openalex.org/I161296585"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"SATORU TAKAHASHI","raw_affiliation_strings":["School of Management, Tokyo University of Science, Kuki-shi Saitama 346-8512, Japan"],"affiliations":[{"raw_affiliation_string":"School of Management, Tokyo University of Science, Kuki-shi Saitama 346-8512, Japan","institution_ids":["https://openalex.org/I161296585"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074703502","display_name":"Jianming Shi","orcid":"https://orcid.org/0000-0003-0695-5660"},"institutions":[{"id":"https://openalex.org/I41725924","display_name":"Muroran Institute of Technology","ror":"https://ror.org/04rymkk69","country_code":"JP","type":"education","lineage":["https://openalex.org/I41725924"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"JIANMING SHI","raw_affiliation_strings":["Department of Computer Science and Systems Engineering, Muroran Institute of Technology, 27-1 Mizumoto-cho, Muroran 050-8585, Japan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Systems Engineering, Muroran Institute of Technology, 27-1 Mizumoto-cho, Muroran 050-8585, Japan","institution_ids":["https://openalex.org/I41725924"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5102015075"],"corresponding_institution_ids":["https://openalex.org/I146563203"],"apc_list":null,"apc_paid":null,"fwci":0.4017,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.71066804,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"17","issue":"02","first_page":"237","last_page":"250"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994000196456909,"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":0.9994000196456909,"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":0.9914000034332275,"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/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9898999929428101,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.7316021919250488},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7275285720825195},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.6232888698577881},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5723759531974792},{"id":"https://openalex.org/keywords/key","display_name":"Key (lock)","score":0.5131750702857971},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.46777358651161194},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.46337902545928955},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.45449841022491455},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4499149024486542},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.44530054926872253},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.43859919905662537},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4290410578250885},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3413762152194977},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2804710865020752},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1880219280719757},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.18209704756736755},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.08907002210617065},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.07679995894432068}],"concepts":[{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.7316021919250488},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7275285720825195},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.6232888698577881},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5723759531974792},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.5131750702857971},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.46777358651161194},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.46337902545928955},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.45449841022491455},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4499149024486542},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44530054926872253},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.43859919905662537},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4290410578250885},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3413762152194977},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2804710865020752},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1880219280719757},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18209704756736755},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.08907002210617065},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.07679995894432068},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1142/s0218488509005838","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0218488509005838","pdf_url":null,"source":{"id":"https://openalex.org/S69518169","display_name":"International Journal of Uncertainty Fuzziness and Knowledge-Based Systems","issn_l":"0218-4885","issn":["0218-4885","1793-6411"],"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":"International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1567533126","https://openalex.org/W1931532026","https://openalex.org/W1976658031","https://openalex.org/W2005158847","https://openalex.org/W2038865108","https://openalex.org/W2051821163","https://openalex.org/W2061698680","https://openalex.org/W2132621139","https://openalex.org/W3124944684","https://openalex.org/W4300919729"],"related_works":["https://openalex.org/W2950208688","https://openalex.org/W2305569444","https://openalex.org/W4285537323","https://openalex.org/W4286800113","https://openalex.org/W4312006216","https://openalex.org/W4377299729","https://openalex.org/W2645942849","https://openalex.org/W4236701864","https://openalex.org/W2477771304","https://openalex.org/W3187747830"],"abstract_inverted_index":{"How":[0],"to":[1,35,71],"make":[2],"a":[3,11,22,62],"prompt":[4],"decision":[5],"for":[6],"uncertainty":[7],"investment":[8,38],"is":[9,33,58],"always":[10],"key":[12],"problem":[13],"in":[14,28,55],"financial":[15],"market.":[16,30],"In":[17],"this":[18,73],"paper,":[19],"we":[20],"present":[21],"new":[23],"dynamic":[24,63],"portfolio":[25],"selection":[26],"strategy":[27,39,54],"stock":[29],"The":[31],"investor":[32],"assumed":[34],"seek":[36],"an":[37],"that":[40],"will":[41],"maximize":[42],"his/her":[43],"final":[44],"wealth":[45],"and":[46],"minimize":[47],"the":[48],"total":[49],"risk.":[50],"An":[51],"analytically":[52],"optimal":[53],"closed":[56],"form":[57],"obtained":[59],"by":[60],"solving":[61],"programming":[64],"problem.":[65],"Some":[66],"applications":[67],"are":[68],"also":[69],"presented":[70],"illustrate":[72],"model.":[74]},"counts_by_year":[{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
