{"id":"https://openalex.org/W350558889","doi":"https://doi.org/10.3233/asy-2011-1059","title":"Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon","display_name":"Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W350558889","doi":"https://doi.org/10.3233/asy-2011-1059","mag":"350558889"},"language":"en","primary_location":{"id":"doi:10.3233/asy-2011-1059","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2011-1059","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","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/A5101732012","display_name":"Takashi Tamura","orcid":"https://orcid.org/0009-0003-7622-1803"},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Takashi Tamura","raw_affiliation_strings":["Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka 560-8531, Japan. E-mails: {tamura, watanabe}@sigmath.es.osaka-u.ac.jp"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka 560-8531, Japan. E-mails: {tamura, watanabe}@sigmath.es.osaka-u.ac.jp","institution_ids":["https://openalex.org/I98285908"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101806934","display_name":"Y\u00fbsuke Watanabe","orcid":"https://orcid.org/0000-0002-8278-7374"},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"The University of Osaka","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Y\u00fbsuke Watanabe","raw_affiliation_strings":["Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka 560-8531, Japan. E-mails: {tamura, watanabe}@sigmath.es.osaka-u.ac.jp"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Division of Mathematical Science for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka 560-8531, Japan. E-mails: {tamura, watanabe}@sigmath.es.osaka-u.ac.jp","institution_ids":["https://openalex.org/I98285908"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5101732012"],"corresponding_institution_ids":["https://openalex.org/I98285908"],"apc_list":null,"apc_paid":null,"fwci":2.2735,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.90044846,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"75","issue":"3-4","first_page":"169","last_page":"209"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9645000100135803,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9645000100135803,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6682295799255371},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.652310848236084},{"id":"https://openalex.org/keywords/horizon","display_name":"Horizon","score":0.5496280789375305},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.5116674900054932},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49854207038879395},{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.4766296148300171},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.469032883644104},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.45800092816352844},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3663601279258728},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3630565404891968},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.34412309527397156},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22074049711227417},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.21170887351036072},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.14827758073806763},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.12196865677833557}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6682295799255371},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.652310848236084},{"id":"https://openalex.org/C159176650","wikidata":"https://www.wikidata.org/wiki/Q43261","display_name":"Horizon","level":2,"score":0.5496280789375305},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5116674900054932},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49854207038879395},{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.4766296148300171},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.469032883644104},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.45800092816352844},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3663601279258728},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3630565404891968},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.34412309527397156},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22074049711227417},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.21170887351036072},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.14827758073806763},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.12196865677833557},{"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:10.3233/asy-2011-1059","is_oa":false,"landing_page_url":"https://doi.org/10.3233/asy-2011-1059","pdf_url":null,"source":{"id":"https://openalex.org/S141283892","display_name":"Asymptotic Analysis","issn_l":"0921-7134","issn":["0921-7134","1875-8576"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asymptotic Analysis","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":0,"referenced_works":[],"related_works":["https://openalex.org/W2906267174","https://openalex.org/W134501823","https://openalex.org/W2615656344","https://openalex.org/W2013239059","https://openalex.org/W2295626654","https://openalex.org/W4286622840","https://openalex.org/W2536121351","https://openalex.org/W2809608782","https://openalex.org/W2333245620","https://openalex.org/W1889576908"],"abstract_inverted_index":{"We":[0],"consider":[1],"a":[2,17],"market":[3],"model":[4],"where":[5],"risky":[6],"securities":[7],"are":[8],"affected":[9],"by":[10],"\u201chidden\u201d":[11],"economic":[12],"factors,":[13],"which":[14],"evolve":[15],"as":[16],"finite-state":[18],"Markov":[19],"chain.":[20],"Our":[21],"problem":[22],"is":[23],"optimizing":[24],"an":[25],"expected":[26],"risk-averse":[27],"power":[28],"utility":[29],"of":[30],"wealth":[31],"on":[32],"finite":[33],"and":[34],"infinite":[35],"time":[36],"horizons.":[37]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-04-30T06:05:26.967640","created_date":"2025-10-10T00:00:00"}
