{"id":"https://openalex.org/W3125967689","doi":"https://doi.org/10.3233/rda-2008-0004","title":"On the Markowitz mean\u2013variance analysis of self-financing portfolios","display_name":"On the Markowitz mean\u2013variance analysis of self-financing portfolios","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W3125967689","doi":"https://doi.org/10.3233/rda-2008-0004","mag":"3125967689"},"language":"en","primary_location":{"id":"doi:10.3233/rda-2008-0004","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-2008-0004","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"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":"Risk and Decision 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/A5058289590","display_name":"Zhidong Bai","orcid":"https://orcid.org/0000-0002-5300-5513"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Zhidong Bai","raw_affiliation_strings":["KLAS, Math & Stat, Northeast Normal University and DSAP & RMI, National University of Singapore, Singapore"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"KLAS, Math & Stat, Northeast Normal University and DSAP & RMI, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100641507","display_name":"Huixia Liu","orcid":"https://orcid.org/0000-0002-9764-0447"},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Huixia Liu","raw_affiliation_strings":["Department of Statistics, National University of Singapore, Singapore"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, National University of Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045661677","display_name":"Wing\u2010Keung Wong","orcid":"https://orcid.org/0000-0001-6755-572X"},"institutions":[{"id":"https://openalex.org/I141568987","display_name":"Hong Kong Baptist University","ror":"https://ror.org/0145fw131","country_code":"HK","type":"education","lineage":["https://openalex.org/I141568987"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Wing-Keung Wong","raw_affiliation_strings":["Department of Economics, Hong Kong Baptist University, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Hong Kong Baptist University, Hong Kong","institution_ids":["https://openalex.org/I141568987"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":10.9688,"has_fulltext":false,"cited_by_count":63,"citation_normalized_percentile":{"value":0.98317508,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"1","issue":"1","first_page":"35","last_page":"42"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"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":0.998199999332428,"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/T10047","display_name":"Financial Markets and Investment Strategies","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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.996399998664856,"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/economics","display_name":"Economics","score":0.554944634437561},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.46952810883522034},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4587048292160034},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.39984941482543945},{"id":"https://openalex.org/keywords/accounting","display_name":"Accounting","score":0.10748538374900818}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.554944634437561},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.46952810883522034},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4587048292160034},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39984941482543945},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.10748538374900818}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.3233/rda-2008-0004","is_oa":false,"landing_page_url":"https://doi.org/10.3233/rda-2008-0004","pdf_url":null,"source":{"id":"https://openalex.org/S2764680446","display_name":"Risk and Decision Analysis","issn_l":"1569-7371","issn":["1569-7371","1875-9173"],"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":"Risk and Decision Analysis","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.1018.6888","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1018.6888","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"http://repository.hkbu.edu.hk/cgi/viewcontent.cgi?article%3D1015%26context%3Decon_ja","raw_type":"text"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/105278","is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/105278","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":[],"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":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Scopus","raw_type":"Article"},{"id":"pmh:oai:repository.hkbu.edu.hk:econ_ja-1015","is_oa":false,"landing_page_url":"https://repository.hkbu.edu.hk/econ_ja/16","pdf_url":null,"source":{"id":"https://openalex.org/S4377196872","display_name":"HKBU Institutional Repository (Hong Kong Baptist University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I141568987","host_organization_name":"Hong Kong Baptist University","host_organization_lineage":["https://openalex.org/I141568987"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Department of Economics Journal Articles","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4300000071525574,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321851","display_name":"Fudan University","ror":"https://ror.org/013q1eq08"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W1482572935","https://openalex.org/W1549143331","https://openalex.org/W1558455235","https://openalex.org/W1593372571","https://openalex.org/W1965180197","https://openalex.org/W1965748679","https://openalex.org/W1970440890","https://openalex.org/W1970685997","https://openalex.org/W1971523416","https://openalex.org/W1981573335","https://openalex.org/W1983096910","https://openalex.org/W1988008345","https://openalex.org/W1990015273","https://openalex.org/W1991875623","https://openalex.org/W2016768531","https://openalex.org/W2028035870","https://openalex.org/W2029627386","https://openalex.org/W2038865108","https://openalex.org/W2042506154","https://openalex.org/W2045513909","https://openalex.org/W2051769598","https://openalex.org/W2052252323","https://openalex.org/W2059627964","https://openalex.org/W2060044440","https://openalex.org/W2061543499","https://openalex.org/W2062143325","https://openalex.org/W2075143038","https://openalex.org/W2099746488","https://openalex.org/W2103910452","https://openalex.org/W2110633225","https://openalex.org/W2131868098","https://openalex.org/W2132640775","https://openalex.org/W2136118086","https://openalex.org/W2136663834","https://openalex.org/W2147675445","https://openalex.org/W2160688039","https://openalex.org/W2166219456","https://openalex.org/W2795413297","https://openalex.org/W3104309687","https://openalex.org/W3105593983","https://openalex.org/W3121832107","https://openalex.org/W3122273327","https://openalex.org/W3122622866","https://openalex.org/W3124431622","https://openalex.org/W3125435015","https://openalex.org/W3125997527"],"related_works":["https://openalex.org/W2072638530","https://openalex.org/W2030617584","https://openalex.org/W2056210026","https://openalex.org/W2161519270","https://openalex.org/W2021991108","https://openalex.org/W2013444265","https://openalex.org/W1973538245","https://openalex.org/W331667891","https://openalex.org/W2021570049","https://openalex.org/W1598638570"],"abstract_inverted_index":{"This":[0],"paper":[1],"extends":[2],"the":[3,18,22,36],"work":[4],"of":[5,25],"Markowitz":[6],"(1952),":[7],"Korkie":[8],"and":[9,12],"Turtle":[10],"(2002)":[11],"others":[13],"by":[14],"first":[15],"proving":[16],"that":[17],"traditional":[19],"estimate":[20],"for":[21],"optimal":[23],"return":[24],"self-financing":[26],"portfolios":[27],"always":[28],"over-estimates":[29],"from":[30],"its":[31],"theoretic":[32],"value.":[33],"To":[34],"circumvent":[35]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":5}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}